Quantile splines with several covariates

We extend univariate regression quantile splines to problems with several covariates. We adopt an ANOVA-type decomposition approach with main effects captured by linear splines and second-order ‘interactions’ modeled by bi-linear tensor-product splines. Both univariate linear splines and bi-linear tensor-product splines are optimal when fidelity to data are balanced by a roughness penalty on the fitted function. The problem of sub-model selection and asymptotic justification for using a smaller sub-space of the spline functions in the approximation are discussed. Two examples are considered to illustrate the empirical performance of the proposed methods.     

Penalized triograms: total variation regularization for bivariate smoothing

Summary.  Hansen, Kooperberg and Sardy introduced a family of continuous, piecewise linear functions defined over adaptively selected triangulations of the plane as a general approach to statistical modelling of bivariate densities and regression and hazard functions. These triograms enjoy a natural affine equivariance that offers distinct advantages over competing tensor product methods that are more commonly used in statistical applications. Triograms employ basis functions consisting of linear 'tent functions' defined with respect to a triangulation of a given planar domain. As in knot selection for univariate splines, Hansen and colleagues adopted the regression spline approach of Stone. Vertices of the triangulation are introduced or removed sequentially in an effort to balance fidelity to the data and parsimony. We explore a smoothing spline variant of the triogram model based on a roughness penalty adapted to the piecewise linear structure of the triogram model. We show that the roughness penalty proposed may be interpreted as a total variation penalty on the gradient of the fitted function. The methods are illustrated with real and artificial examples, including an application to estimated quantile surfaces of land value in the Chicago metropolitan area.     

Rank-based group variable selection

A robust rank-based estimator for variable selection in linear models, with grouped predictors, is studied. The proposed estimation procedure extends the existing rank-based variable selection [Johnson, B.A., and Peng, L. (2008), ‘Rank-based Variable Selection’, Journal of Nonparametric Statistics, 20(3):241–252] and the ww-scad [Wang, L., and Li, R. (2009), ‘Weighted Wilcoxon-type Smoothly Clipped Absolute Deviation Method’, Biometrics, 65(2):564–571] to linear regression models with grouped variables. The resulting estimator is robust to contamination or deviations in both the response and the design space.The Oracle property and asymptotic normality of the estimator are established under some regularity conditions. Simulation studies reveal that the proposed method performs better than the existing rank-based methods [Johnson, B.A., and Peng, L. (2008), ‘Rank-based Variable Selection’, Journal of Nonparametric Statistics, 20(3):241–252; Wang, L., and Li, R. (2009), ‘Weighted Wilcoxon-type Smoothly Clipped Absolute Deviation Method’, Biometrics, 65(2):564–571] for grouped variables models. This estimation procedure also outperforms the adaptive hlasso [Zhou, N., and Zhu, J. (2010), ‘Group Variable Selection Via a Hierarchical Lasso and its Oracle Property’, Interface, 3(4):557–574] in the presence of local contamination in the design space or for heavy-tailed error distribution.     

On likelihood ratio testing for penalized splines

Penalized spline regression using a mixed effects representation is one of the most popular nonparametric regression tools to estimate an unknown regression function $f(\cdot )$ . In this context testing for polynomial regression against a general alternative is equivalent to testing for a zero variance component. In this paper, we fill the gap between different published null distributions of the corresponding restricted likelihood ratio test under different assumptions. We show that: (1) the asymptotic scenario is determined by the choice of the penalty and not by the choice of the spline basis or number of knots; (2) non-standard asymptotic results correspond to common penalized spline penalties on derivatives of $f(\cdot )$ , which ensure good power properties; and (3) standard asymptotic results correspond to penalized spline penalties on $f(\cdot )$ itself, which lead to sizeable power losses under smooth alternatives. We provide simple and easy to use guidelines for the restricted likelihood ratio test in this context.     

Bilinear modulation models for seasonal tables of counts

We propose generalized linear models for time or age-time tables of seasonal counts, with the goal of better understanding seasonal patterns in the data. The linear predictor contains a smooth component for the trend and the product of a smooth component (the modulation) and a periodic time series of arbitrary shape (the carrier wave). To model rates, a population offset is added. Two-dimensional trends and modulation are estimated using a tensor product B-spline basis of moderate dimension. Further smoothness is ensured using difference penalties on the rows and columns of the tensor product coefficients. The optimal penalty tuning parameters are chosen based on minimization of a quasi-information criterion. Computationally efficient estimation is achieved using array regression techniques, avoiding excessively large matrices. The model is applied to female death rate in the US due to cerebrovascular diseases and respiratory diseases.     

Asymptotic normality of locally modelled regression estimator for functional data

We focus on the nonparametric regression of a scalar response on a functional explanatory variable. As an alternative to the well-known Nadaraya-Watson estimator for regression function in this framework, the locally modelled regression estimator performs very well [cf. [Barrientos-Marin, J., Ferraty, F., and Vieu, P. (2010), ‘Locally Modelled Regression and Functional Data’, Journal of Nonparametric Statistics, 22, 617–632]. In this paper, the asymptotic properties of locally modelled regression estimator for functional data are considered. The mean-squared convergence as well as asymptotic normality for the estimator are established. We also adapt the empirical likelihood method to construct the point-wise confidence intervals for the regression function and derive the Wilk's phenomenon for the empirical likelihood inference. Furthermore, a simulation study is presented to illustrate our theoretical results.     

Free-knot polynomial splines with confidence intervals

Summary.  We construct approximate confidence intervals for a nonparametric regression function, using polynomial splines with free-knot locations. The number of knots is determined by generalized cross-validation. The estimates of knot locations and coefficients are obtained through a non-linear least squares solution that corresponds to the maximum likelihood estimate. Confidence intervals are then constructed based on the asymptotic distribution of the maximum likelihood estimator. Average coverage probabilities and the accuracy of the estimate are examined via simulation. This includes comparisons between our method and some existing methods such as smoothing spline and variable knots selection as well as a Bayesian version of the variable knots method. Simulation results indicate that our method works well for smooth underlying functions and also reasonably well for discontinuous functions. It also performs well for fairly small sample sizes.     

What is the effective sample size of a spatial point process?

Point process models are a natural approach for modelling data that arise as point events. In the case of Poisson counts, these may be fitted easily as a weighted Poisson regression. Point processes lack the notion of sample size. This is problematic for model selection, because various classical criteria such as the Bayesian information criterion (BIC) are a function of the sample size, n, and are derived in an asymptotic framework where n tends to infinity. In this paper, we develop an asymptotic result for Poisson point process models in which the observed number of point events, m, plays the role that sample size does in the classical regression context. Following from this result, we derive a version of BIC for point process models, and when fitted via penalised likelihood, conditions for the LASSO penalty that ensure consistency in estimation and the oracle property. We discuss challenges extending these results to the wider class of Gibbs models, of which the Poisson point process model is a special case.     

Mixture cure rate models with accelerated failures and nonparametric form of covariate effects

Two-component mixture cure rate model is popular in cure rate data analysis with the proportional hazards and accelerated failure time (AFT) models being the major competitors for modelling the latency component. [Wang, L., Du, P., and Liang, H. (2012), ‘Two-Component Mixture Cure Rate Model with Spline Estimated Nonparametric Components’, Biometrics, 68, 726–735] first proposed a nonparametric mixture cure rate model where the latency component assumes proportional hazards with nonparametric covariate effects in the relative risk. Here we consider a mixture cure rate model where the latency component assumes AFTs with nonparametric covariate effects in the acceleration factor. Besides the more direct physical interpretation than the proportional hazards, our model has an additional scalar parameter which adds more complication to the computational algorithm as well as the asymptotic theory. We develop a penalised EM algorithm for estimation together with confidence intervals derived from the Louis formula. Asymptotic convergence rates of the parameter estimates are established. Simulations and the application to a melanoma study shows the advantages of our new method.     

ON CONFIDENCE INTERVALS FOR GENERALIZED ADDITIVE MODELS BASED ON PENALIZED REGRESSION SPLINES

Generalized additive models represented using low rank penalized regression splines, estimated by penalized likelihood maximisation and with smoothness selected by generalized cross validation or similar criteria, provide a computationally efficient general framework for practical smooth modelling. Various authors have proposed approximate Bayesian interval estimates for such models, based on extensions of the work of Wahba, G. (1983) [Bayesian confidence intervals for the cross validated smoothing spline. J. R. Statist. Soc. B 45 , 133–150] and Silverman, B.W. (1985) [Some aspects of the spline smoothing approach to nonparametric regression curve fitting. J. R. Statist. Soc. B 47 , 1–52] on smoothing spline models of Gaussian data, but testing of such intervals has been rather limited and there is little supporting theory for the approximations used in the generalized case. This paper aims to improve this situation by providing simulation tests and obtaining asymptotic results supporting the approximations employed for the generalized case. The simulation results suggest that while across‐the‐model performance is good, component‐wise coverage probabilities are not as reliable. Since this is likely to result from the neglect of smoothing parameter variability, a simple and efficient simulation method is proposed to account for smoothing parameter uncertainty: this is demonstrated to substantially improve the performance of component‐wise intervals.     

An alternative local polynomial estimator for the error-in-variables problem

We consider the problem of estimating a regression function when a covariate is measured with error. Using the local polynomial estimator of Delaigle et al. [(2009), ‘A Design-adaptive Local Polynomial Estimator for the Errors-in-variables Problem’, Journal of the American Statistical Association, 104, 348–359] as a benchmark, we propose an alternative way of solving the problem without transforming the kernel function. The asymptotic properties of the alternative estimator are rigorously studied. A detailed implementing algorithm and a computationally efficient bandwidth selection procedure are also provided. The proposed estimator is compared with the existing local polynomial estimator via extensive simulations and an application to the motorcycle crash data. The results show that the new estimator can be less biased than the existing estimator and is numerically more stable.     

Iterative bias reduction: a comparative study

Multivariate nonparametric smoothers, such as kernel based smoothers and thin plate splines smoothers, are adversely impacted by the sparseness of data in high dimension, also known as the curse of dimensionality. Adaptive smoothers, that can exploit the underlying smoothness of the regression function, may partially mitigate this effect. This paper presents a comparative simulation study of a novel adaptive smoother (IBR) with competing multivariate smoothers available as package or function within the R language and environment for statistical computing. Comparison between the methods are made on simulated datasets of moderate size, from 50 to 200 observations, with two, five or 10 potential explanatory variables, and on a real dataset. The results show that the good asymptotic properties of IBR are complemented by a very good behavior on moderate sized datasets, results which are similar to those obtained with Duchon low rank splines.     

Spatially-adaptive Penalties for Spline Fitting

The paper studies spline fitting with a roughness penalty that adapts to spatial heterogeneity in the regression function. The estimates are p th degree piecewise polynomials with p − 1 continuous derivatives. A large and fixed number of knots is used and smoothing is achieved by putting a quadratic penalty on the jumps of the p th derivative at the knots. To be spatially adaptive, the logarithm of the penalty is itself a linear spline but with relatively few knots and with values at the knots chosen to minimize the generalized cross validation (GCV) criterion. This locally-adaptive spline estimator is compared with other spline estimators in the literature such as cubic smoothing splines and knot-selection techniques for least squares regression. Our estimator can be interpreted as an empirical Bayes estimate for a prior allowing spatial heterogeneity. In cases of spatially heterogeneous regression functions, empirical Bayes confidence intervals using this prior achieve better pointwise coverage probabilities than confidence intervals based on a global-penalty parameter. The method is developed first for univariate models and then extended to additive models.     

Conditional logspline density estimation

In conditional logspline modelling, the logarithm of the conditional density function, log f(y|x), is modelled by using polynomial splines and their tensor products. The parameters of the model (coefficients of the spline functions) are estimated by maximizing the conditional log-likelihood function. The resulting estimate is a density function (positive and integrating to one) and is twice continuously differentiable. The estimate is used further to obtain estimates of regression and quantile functions in a natural way. An automatic procedure for selecting the number of knots and knot locations based on minimizing a variant of the AIC is developed. An example with real data is given. Finally, extensions and further applications of conditional logspline models are discussed.     

Adaptive confidence bands in the nonparametric fixed design regression model

In this note, we consider the problem of the existence of adaptive confidence bands in the fixed design regression model, adapting ideas in Hoffmann and Nickl [(2011), ‘On Adaptive Inference and Confidence Bands’, Annals of Statistics, 39, 2383–2409] to the present case. In the course of the proof, we show that sup-norm adaptive estimators exist as well in the regression setting.     

Estimation and Variable Selection for Semiparametric Additive Partial Linear Models (SS-09-140)

Semiparametric additive partial linear models, containing both linear and nonlinear additive components, are more flexible compared to linear models, and they are more efficient compared to general nonparametric regression models because they reduce the problem known as "curse of dimensionality". In this paper, we propose a new estimation approach for these models, in which we use polynomial splines to approximate the additive nonparametric components and we derive the asymptotic normality for the resulting estimators of the parameters. We also develop a variable selection procedure to identify significant linear components using the smoothly clipped absolute deviation penalty (SCAD), and we show that the SCAD-based estimators of non-zero linear components have an oracle property. Simulations are performed to examine the performance of our approach as compared to several other variable selection methods such as the Bayesian Information Criterion and Least Absolute Shrinkage and Selection Operator (LASSO). The proposed approach is also applied to real data from a nutritional epidemiology study, in which we explore the relationship between plasma beta-carotene levels and personal characteristics (e.g., age, gender, body mass index (BMI), etc.) as well as dietary factors (e.g., alcohol consumption, smoking status, intake of cholesterol, etc.).     

Asymptotics for penalised splines in generalised additive models

This paper discusses asymptotic theory for penalised spline estimators in generalised additive models. The purpose of this paper is to establish the asymptotic bias and variance as well as the asymptotic normality of the ridge-corrected penalised spline estimator. Furthermore, the asymptotics for the penalised quasi-likelihood fit in mixed models are also discussed.     

Asymptotic design and estimation using linear splines

The estimation of a regression function g using linear splines is considered. The integrated mean square error is minimized using choice of estimator, allocation of observations and displacement of knots.     

Penalized Spline Estimation for Varying-Coefficient Models

Varying-coefficient models are useful extensions of classical linear models. They arise from multivariate nonparametric regression, nonlinear time series modeling and forecasting, longitudinal data analysis, and others. This article proposes the penalized spline estimation for the varying-coefficient models. Assuming a fixed but potentially large number of knots, the penalized spline estimators are shown to be strong consistency and asymptotic normality. A systematic optimization algorithm for the selection of multiple smoothing parameters is developed. One of the advantages of the penalized spline estimation is that it can accommodate varying degrees of smoothness among coefficient functions due to multiple smoothing parameters being used. Some simulation studies are presented to illustrate the proposed methods.