title: mgcv: How to do stepwise regression with a Tweedie response model?
body: <p>Does anyone have an idea how to do stepwise regression with Tweedie in R? </p>
  
  <p>I found the <code>mgcv</code> package, which apparently treats the power parameter of Tweedie as yet another parameter to be estimated. This seems to improve on having to use <code>tweedie.profile</code> to estimate the power outside the <code>glm</code>, so it seems encouraging for using an automated stepwise function to do the regression. But I haven't been able to figure out if the package also offers a stepwise function. The package manual has this to say. </p>
  
  <p>I got lost in the talk about smooths:</p>
  
  <blockquote>
    <p>There is no step.gam in package mgcv.<br>
    To facilitate fully automatic model selection the package implements two smooth modification techniques
    which can be used to allow smooths to be shrunk to zero as part of smoothness selection.</p>
  </blockquote>
  
  <p>I would appreciate your help. Thanks.</p>