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GAMs in Regression Problems

For GAMs in regression problems, in order to depict a non-linear relationship between the predictors and their response, we start off with the multiple linear regression model yi=β0+β1xi1+β2xi2+...+βpxip+ϵiy_i = \beta _0 + \beta _1x_{i1} + \beta _2x_{i2}+...+ \beta _px_{ip}+ \epsilon _i.We then replace the linear component (βjxij \beta _jx_{ij}) with a non-linear function fj(xij)f_j(x_{ij}) so that the original multiple linear regression model becomes yi=β0+f1(xi1)+f2(xi2)+...+fp(xip)+ϵiy_i = \beta _0 + f_1(x_{i1}) + f_2(x_{i2})+...+f_p(x_{ip})+ \epsilon _i. A separate non-linear function fjf_j is applied to every predictor variable in the regression model, then added together. This is why it is considered an additive model.

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Updated 2020-02-26

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Data Science