Bayesian spatial monotonic multiple regression

DOI10.1093/BIOMET/ASY019MaRDI QIDQ4561021zbMATH OpenOpenAlexWikidataFDO

Authors Christian Rohrbeck, Deborah A. Costain, Arnoldo Frigessi

Publication date 10 December 2018

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.06025, https://eprints.lancs.ac.uk/id/eprint/124066/1/BSMMR_Accepted_Manuscript.pdf

zbMATH Keywords

crossvalidationisotonic regressionmarked point processoptimizationreversible jump Markov chain Monte Carlo algorithmspatial dependence

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: We consider monotonic, multiple regression for a set of contiguous regions (lattice data). The regression functions permissibly vary between regions and exhibit geographical structure. We develop new Bayesian non-parametric methodology which allows for both continuous and discontinuous functional shapes and which are estimated using marked point processes and reversible jump Markov Chain Monte Carlo techniques. Geographical dependency is incorporated by a flexible prior distribution; the parametrisation allows the dependency to vary with functional level. The approach is tuned using Bayesian global optimization and cross-validation. Estimates enable variable selection, threshold detection and prediction as well as the extrapolation of the regression function. Performance and flexibility of our approach is illustrated by simulation studies and an application to a Norwegian insurance data set.

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Cited in

(3)

• A method for Bayesian monotonic multiple regression
• Bayesian monotone regression using Gaussian process projection
• A joint estimation approach for monotonic regression functions in general dimensions

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