A hat matrix for monotonicity constrained B-spline and P-spline regression

Kathrin Kagerer

No 484, University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics

Abstract: Splines constitute an interesting way to flexibly estimate a nonlinear relationship between several covariates and a response variable using linear regression techniques. The popularity of splines is due to their easy application and hence the low computational costs since their basis functions can be added to the regression model like usual covariates. As long as no inequality constraints and penalties are imposed on the estimation, the degrees of freedom of the model estimation can be determined straightforwardly as the number of estimated parameters. This paper derives a formula for computing the hat matrix of a penalized and inequality constrained splines estimator. Its trace gives the degrees of freedom of the model estimation which are necessary for the calculation of several information criteria that can be used e.g. for specifying the parameters for the spline or for model selection.

Keywords: Spline; monotonicity; penalty; hat matrix; regression; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C14 C52 (search for similar items in EconPapers)
Date: 2015-03
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://epub.uni-regensburg.de/31450/1/DP484_Kager ... x_constr_splines.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bay:rdwiwi:31450

Access Statistics for this paper

More papers in University of Regensburg Working Papers in Business, Economics and Management Information Systems from University of Regensburg, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Gernot Deinzer ().