论文标题

线性混合模型的梯度提升

Gradient Boosting for Linear Mixed Models

论文作者

Griesbach, Colin, Säfken, Benjamin, Waldmann, Elisabeth

论文摘要

统计学习领域的梯度提升是通过从分类理论中调节概念来估算和选择预测效应的强大框架。当前的增强方法还提供了对随机效应的考虑方法,因此可以预测混合模型的纵向和聚类数据。但是,这些方法包括几个缺陷,一方面错误诱导的收缩率和低收敛速率以及对随机效应的有偏见估计。因此,我们提出了一种新的增强算法,该算法通过将其排除在选择过程中,明确地说明了随机结构,从而正确纠正随机效应估计值,并提供基于可能性的随机效应方差结构的估计。新算法提供了一种有机且无偏的拟合方法,可以通过模拟和数据示例显示。

Gradient boosting from the field of statistical learning is widely known as a powerful framework for estimation and selection of predictor effects in various regression models by adapting concepts from classification theory. Current boosting approaches also offer methods accounting for random effects and thus enable prediction of mixed models for longitudinal and clustered data. However, these approaches include several flaws resulting in unbalanced effect selection with falsely induced shrinkage and a low convergence rate on the one hand and biased estimates of the random effects on the other hand. We therefore propose a new boosting algorithm which explicitly accounts for the random structure by excluding it from the selection procedure, properly correcting the random effects estimates and in addition providing likelihood-based estimation of the random effects variance structure. The new algorithm offers an organic and unbiased fitting approach, which is shown via simulations and data examples.

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