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Model-based Boosting in R: A Hands-on Tutorial Using the R Package mboost

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Technical Report, 120. Department of Statistics, Ludwig-Maximilians-Universität, Munich, (2012)

Abstract

We provide a detailed hands-on tutorial for the R add-on package mboost. The package implements boosting for optimizing general risk functions utilizing component-wise (penalized) least squares estimates as base-learners for ⬚tting various kinds of generalized linear and generalized additive models to potentially high-dimensional data. We give a theoretical background and demonstrate how mboost can be used to ⬚t interpretable models of di⬚erent complexity. As an example we use mboost to predict the body fat based on anthropometric measurements throughout the tutorial.

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