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backfitting algorithm : ウィキペディア英語版
backfitting algorithm
In statistics, the backfitting algorithm is a simple iterative procedure used to fit a generalized additive model. It was introduced in 1985 by Leo Breiman and Jerome Friedman along with generalized additive models. In most cases, the backfitting algorithm is equivalent to the Gauss–Seidel method algorithm for solving a certain linear system of equations
==Algorithm==
Additive models are a class of non-parametric regression models of the form:
: Y_i = \alpha + \sum_^p f_j(X_) + \epsilon_i
where each X_1, X_2, \ldots, X_p is a variable in our p-dimensional predictor X, and Y is our outcome variable. \epsilon represents our inherent error, which is assumed to have mean zero. The f_j represent unspecified smooth functions of a single X_j. Given the flexibility in the f_j, we typically do not have a unique solution: \alpha is left unidentifiable as one can add any constants to any of the f_j and subtract this value from \alpha. It is common to rectify this by constraining
: \sum_^N f_j(X_) = 0 for all j
leaving
: \alpha = 1/N \sum_^N y_i
necessarily.
The backfitting algorithm is then:

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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