Spline Regression with Automatic Knot Selection
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arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2018
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| _version_ | 1866913842738495488 |
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| author | Goepp, Vivien Bouaziz, Olivier Nuel, Grégory |
| author_facet | Goepp, Vivien Bouaziz, Olivier Nuel, Grégory |
| contents | In this paper we introduce a new method for automatically selecting knots in spline regression. The approach consists in setting a large number of initial knots and fitting the spline regression through a penalized likelihood procedure called adaptive ridge. The proposed method is similar to penalized spline regression methods (e.g. P-splines), with the noticeable difference that the output is a sparse spline regression with a small number of knots. We show that our method called A-spline, for adaptive splines yields sparse regression models with high interpretability, while having similar predictive performance similar to penalized spline regression methods. A-spline is applied both to simulated and real dataset. A fast and publicly available implementation in R is provided along with this paper. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1808_01770 |
| institution | arXiv |
| publishDate | 2018 |
| record_format | arxiv |
| spellingShingle | Spline Regression with Automatic Knot Selection Goepp, Vivien Bouaziz, Olivier Nuel, Grégory Applications Computation In this paper we introduce a new method for automatically selecting knots in spline regression. The approach consists in setting a large number of initial knots and fitting the spline regression through a penalized likelihood procedure called adaptive ridge. The proposed method is similar to penalized spline regression methods (e.g. P-splines), with the noticeable difference that the output is a sparse spline regression with a small number of knots. We show that our method called A-spline, for adaptive splines yields sparse regression models with high interpretability, while having similar predictive performance similar to penalized spline regression methods. A-spline is applied both to simulated and real dataset. A fast and publicly available implementation in R is provided along with this paper. |
| title | Spline Regression with Automatic Knot Selection |
| topic | Applications Computation |
| url | https://arxiv.org/abs/1808.01770 |