gam.selection              package:mgcv              R Documentation

_G_e_n_e_r_a_l_i_z_e_d _A_d_d_i_t_i_v_e _M_o_d_e_l _S_e_l_e_c_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     This page is intended to provide some more information on how to
     select GAMs. Given a model structure specified by a gam model
     formula, 'gam()' attempts to find the appropriate smoothness for
     each applicable model  term using Generalized Cross Validation
     (GCV) or an Un-Biased Risk Estimator (UBRE), the latter being used
     in cases in which the scale parameter is assumed known. GCV and 
     UBRE are covered in Craven and Wahba (1979) and Wahba (1990), see
     'gam.method' for more detail about the numerical optimization
     approaches available. 

     Automatic smoothness selection is unlikely to be successful with
     few data, particularly with multiple terms to be selected. In
     addition GCV and UBRE score can occasionally display local minima
     that can trap the minimisation algorithms. GCV/UBRE scores become
     constant with changing smoothing parameters at very low or very
     high smoothng parameters, and on occasion these `flat' regions can
     be separated from regions of lower score by a small `lip'. This
     seems to be the most common form of local minimum, but is usually
     avoidable by avoiding extreme smoothing parameters as starting
     values in optimization, and by avoiding big jumps in smoothing
     parameters while optimizing. Never the less, if you are suspicious
     of smoothing parameter estimates, try changing fit method (see
     'gam.method') and see if the estimates change, or try changing
     some or all of the smoothing parameters `manually' (argument 'sp'
     of 'gam'). 

     In general the most logically consistent method to use for
     deciding which terms to include in the model is to compare
     GCV/UBRE scores for models with and without the term. More
     generally the score for the model with a smooth term can be
     compared to the score for the model with  the smooth term replaced
     by appropriate parametric terms. Candidates for removal can be
     identified by reference to the approximate p-values provided by
     'summary.gam'. Candidates for replacement by parametric terms are
     smooth terms with estimated degrees of freedom close to their 
     minimum possible.

     One appealing approach to model selection is via shrinkage. Smooth
     classes 'cs.smooth' and 'tprs.smooth' (specified by '"cs"' and
     '"ts"' respectively) have smoothness penalties which include a
     small shrinkage component, so that for large enough smoothing
     parameters the smooth  becomes identically zero. This allows
     automatic smoothing parameter selection methods to effectively
     remove the term from the model altogether. The shrinkage component
     of the penalty is set at a level that usually makes negligable
     contribution to the penalization of the model, only becoming
     effective when the term is effectively `completely smooth'
     according to the conventional penalty.

_A_u_t_h_o_r(_s):

     Simon N. Wood simon.wood@r-project.org

_R_e_f_e_r_e_n_c_e_s:

     Craven and Wahba (1979) Smoothing Noisy Data with Spline
     Functions. Numer. Math. 31:377-403

     Venables and Ripley (1999) Modern Applied Statistics with S-PLUS

     Wahba (1990) Spline Models of Observational Data. SIAM.

     Wood, S.N. (2000)  Modelling and Smoothing Parameter Estimation
     with Multiple  Quadratic Penalties. J.R.Statist.Soc.B
     62(2):413-428

     Wood, S.N. (2003) Thin plate regression splines. J.R.Statist.Soc.B
     65(1):95-114

     <URL: http://www.stats.gla.ac.uk/~simon/>

_E_x_a_m_p_l_e_s:

     ## an example of GCV based model selection
     library(mgcv)
     set.seed(0) 
     n<-400;sig<-2
     x0 <- runif(n, 0, 1);x1 <- runif(n, 0, 1)
     x2 <- runif(n, 0, 1);x3 <- runif(n, 0, 1)
     x4 <- runif(n, 0, 1);x5 <- runif(n, 0, 1)
     f <- 2 * sin(pi * x0)
     f <- f + exp(2 * x1) - 3.75887
     f <- f+0.2*x2^11*(10*(1-x2))^6+10*(10*x2)^3*(1-x2)^10-1.396
     e <- rnorm(n, 0, sig)
     y <- f + e
     ## Note the increased gamma parameter below to favour
     ## slightly smoother models (See Kim & Gu, 2004, JRSSB)...
     b<-gam(y~s(x0,bs="ts")+s(x1,bs="ts")+s(x2,bs="ts")+
        s(x3,bs="ts")+s(x4,bs="ts")+s(x5,bs="ts"),gamma=1.4)
     summary(b)
     plot(b,pages=1)