Variance Reduction in Smoothing Splines

Robert L. Paige, Shan Sun and Keyi Wang

Scandinavian Journal of Statistics, 2009, vol. 36, issue 1, 112-126

Abstract: Abstract. We develop a variance reduction method for smoothing splines. For a given point of estimation, we define a variance‐reduced spline estimate as a linear combination of classical spline estimates at three nearby points. We first develop a variance reduction method for spline estimators in univariate regression models. We then develop an analogous variance reduction method for spline estimators in clustered/longitudinal models. Simulation studies are performed which demonstrate the efficacy of our variance reduction methods in finite sample settings. Finally, a real data analysis with the motorcycle data set is performed. Here we consider variance estimation and generate 95% pointwise confidence intervals for the unknown regression function.

Date: 2009
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https://doi.org/10.1111/j.1467-9469.2008.00616.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:36:y:2009:i:1:p:112-126

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