Out-of-Sample Prediction in Multidimensional P-Spline Models

Alba Carballo, María Durbán and Dae-Jin Lee
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Alba Carballo: Department of Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Spain
María Durbán: Department of Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Spain
Dae-Jin Lee: BCAM—Basque Center for Applied Mathematics, 48009 Bilbao, Spain

Mathematics, 2021, vol. 9, issue 15, 1-23

Abstract: The prediction of out-of-sample values is an interesting problem in any regression model. In the context of penalized smoothing using a mixed-model reparameterization, a general framework has been proposed for predicting in additive models but without interaction terms. The aim of this paper is to generalize this work, extending the methodology proposed in the multidimensional case, to models that include interaction terms, i.e., when prediction is carried out in a multidimensional setting. Our method fits the data, predicts new observations at the same time, and uses constraints to ensure a consistent fit or impose further restrictions on predictions. We have also developed this method for the so-called smooth-ANOVA model, which allows us to include interaction terms that can be decomposed into the sum of several smooth functions. We also develop this methodology for the so-called smooth-ANOVA models, which allow us to include interaction terms that can be decomposed as a sum of several smooth functions. To illustrate the method, two real data sets were used, one for predicting the mortality of the U.S. population in a logarithmic scale, and the other for predicting the aboveground biomass of Populus trees as a smooth function of height and diameter. We examine the performance of interaction and the smooth-ANOVA model through simulation studies.

Keywords: prediction; penalized regression; P-splines; mixed models (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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