Generalized profiling estimation for global and adaptive penalized spline smoothing

Jiguo Cao and James O. Ramsay

Computational Statistics & Data Analysis, 2009, vol. 53, issue 7, 2550-2562

Abstract: We propose the generalized profiling method to estimate the multiple regression functions in the framework of penalized spline smoothing, where the regression functions and the smoothing parameter are estimated in two nested levels of optimization. The corresponding gradients and Hessian matrices are worked out analytically, using the Implicit Function Theorem if necessary, which leads to fast and stable computation. Our main contribution is developing the modified delta method to estimate the variances of the regression functions, which include the uncertainty of the smoothing parameter estimates. We further develop adaptive penalized spline smoothing to estimate spatially heterogeneous regression functions, where the smoothing parameter is a function that changes along with the curvature of regression functions. The simulations and application show that the generalized profiling method leads to good estimates for the regression functions and their variances.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-9473(08)00569-0
Full text for ScienceDirect subscribers only.

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:eee:csdana:v:53:y:2009:i:7:p:2550-2562

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().