A note on P-spline additive models with correlated errors
additive modelautoregression modelback-fittingestimationmixed modelmodel selectionpenalized splineserial correlation
Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation using splines (65D07) Numerical smoothing, curve fitting (65D10)
The model under consideration is an additive model where the response variable \(y\) is represented as a sum of \(k\) smooth terms which act on the explanatory variables \(x_1,\dots,x_k\): \[ y=\alpha+ f_1(x_1)+\dots+f_k(x_k)+\varepsilon, \qquad E(f_i(x_i))=0, \] in the presence of correlated Gaussian errors. The authors use the penalized spline (P-spline) approach of \textit{P. H. C. Eilers} and \textit{B. D. Marx} [Stat. Sci. 11, No. 2, 89--121 (1996; Zbl 0955.62562)] to estimate \(f_i(.)\), \(i=1,\dots,k\), and give simple expressions for the estimated curves \(f_i\). These expressions give the possibility to calculate confidence intervals for each fitted function. At the same time, the mixed model representation of P-splines gives an efficient method for both the estimation of the smoothing and correlation parameters and enables one to use likelihood ratio tests for model selection. The obtained results are applied to the analysis of some electricity consumption data.
- Additive Nonparametric Regression With Autocorrelated Errors
- Approximate Standard Errors in Semiparametric Models
- Asymptotic properties of backfitting estimators
- Direct generalized additive modeling with penalized likelihood.
- Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
- Flexible smoothing with P-splines: a unified approach
- Generalized Additive Models: Some Applications
- scientific article; zbMATH DE number 5281111 (Why is no real title available?)
- scientific article; zbMATH DE number 47282 (Why is no real title available?)
- scientific article; zbMATH DE number 469330 (Why is no real title available?)
- scientific article; zbMATH DE number 837912 (Why is no real title available?)
- Linear smoothers and additive models
- Mixed-effects models in S and S-Plus
- Respiratory health and air pollution: additive mixed model analyses
- Simple incorporation of interactions into additive models
- Smoothing Spline Models with Correlated Random Errors
- Some theory for penalized spline generalized additive models
- The Analysis of Designed Experiments and Longitudinal Data by Using Smoothing Splines
- Semiparametric regression during 2003--2007
- General design Bayesian generalized linear mixed models
- Parsimonious classification via generalized linear mixed models
- Exploring US business cycles with bivariate loops using penalized spline regression
- Smoothing and forecasting mortality rates
- Direct simultaneous inference in additive models and its application to model undernutrition
- P-spline ANOVA-type interaction models for spatio-temporal smoothing
- A general framework for prediction in penalized regression
- On estimation of nonparametric regression models with autoregressive and moving average errors
- Predicting pregnancy outcomes using longitudinal information: a penalized splines mixed-effects model approach
This page was built for publication: A note on P-spline additive models with correlated errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1887219)
