Your question is not specific to "Tweedie" family; it is a general mgcv feature in model selection.
mgcv does not use step.gam for model selection. I think your confusion comes from another package gam, which would use step.gam to sequentially add/drop a term and reports AIC. When you go ?step.gam in mgcv, it refers you to ?gam.selection. ?step.gam is intentionally left there, in case people search it. But all the details are provided in ?gam.selection.
There is no need to do step.gam in mgcv. Model estimation and model selection are integrated in mgcv. For a penalized regression/smoothing spline, when smoothing parameter goes to infinity (very large), its second derivative is penalized to zero, leaving a simple linear term. For example, if we specify a model like:
y ~ s(x1, bs = 'cr') + s(x2, bs = 'cr')
while s(x2) is a spurious model term and should not be included in the model, then mgcv:::gam/bam will shrink s(x2) to x2 after estimation, resulting a model like:
y ~ s(x1) + x2
This means, when you use plot.gam() to inspect the estimated smooth function for each model term, s(x1) is a curve, but s(x2) is a straight line.
Now this is not entirely satisfying. For a complete, successful model selection, we want to drop x2 as well, i.e., shrink s(x2) to 0, to get notationally a model:
y ~ s(x1)
But this is not difficult to achieve. We can use shrinkage smooth class bs = 'ts' (shrinkage thin plate regression spline, as opposed to the ordinary tp) or bs = cs' (shrinkage cubic regression spline, as opposed to the ordinary 'cr'), and mgcv:::gam/bam should be able to shrink s(x2) to 0. The math behind this, is that mgcv will modify the eigen values of linear term (i.e., the null space) from 0, to 0.1, a small but positive number, so that penalization takes effect on linear term. As a result, when you do plot.gam(), you will see s(x2) is a horizontal line at 0.
bs = 'cs' or bs = 'ts' are supposed to be put in function s(); yet mgcv also allows you to leave bs = 'cr' or bs = 'tp' untouched in s(), but put select = TRUE in gam() or bam(). The select = TRUE is a more general treatment, as shrinkage smooths at the moment only have class cs and ts, while select = TRUE work for all kind of smooth specification. They essentially do the same thing, by increasing 0 eigen values to 0.1.
The following example is taken from the example under ?gam.selection. Note how select = TRUE shrinks several terms to 0, giving an informative model selection.
library(mgcv)
set.seed(3);n<-200
dat <- gamSim(1,n=n,scale=.15,dist="poisson") ## simulate data
dat$x4 <- runif(n, 0, 1);dat$x5 <- runif(n, 0, 1) ## spurious
b <- gam(y~s(x0)+s(x1)+s(x2)+s(x3)+s(x4)+s(x5),data=dat,
family=poisson,select=TRUE,method="REML")
summary(b)
plot.gam(b,pages=1)
Note that, the p-values in summary.gam() also gives evidence for such selection:
Approximate significance of smooth terms:
edf Ref.df Chi.sq p-value
s(x0) 1.7655119 9 5.264 0.0397 *
s(x1) 1.9271039 9 65.356 <2e-16 ***
s(x2) 6.1351372 9 156.204 <2e-16 ***
s(x3) 0.0002618 9 0.000 0.4088
s(x4) 0.0002766 9 0.000 1.0000
s(x5) 0.1757146 9 0.195 0.2963
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
R-sq.(adj) = 0.545 Deviance explained = 51.6%
-REML = 430.78 Scale est. = 1 n = 200
