Spline Regression with Automatic Knot Selection - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

Spline Regression with Automatic Knot Selection

Vivien Goepp
Olivier Bouaziz

Résumé

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.
Fichier principal
Vignette du fichier
hal_adaptive_spline.pdf (1.06 Mo) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01853459 , version 1 (03-08-2018)

Identifiants

Citer

Vivien Goepp, Olivier Bouaziz, Grégory Nuel. Spline Regression with Automatic Knot Selection. 2018. ⟨hal-01853459⟩
464 Consultations
6116 Téléchargements

Altmetric

Partager

More