An Implementation of Bayesian Adaptive Regression Splines (BARS) in C with S and R Wrappers

Garrick Wallstrom, Jeffrey Liebner and Robert E. Kass

Journal of Statistical Software, 2008, vol. 026, issue i01

Abstract: BARS (DiMatteo, Genovese, and Kass 2001) uses the powerful reversible-jump MCMC engine to perform spline-based generalized nonparametric regression. It has been shown to work well in terms of having small mean-squared error in many examples (smaller than known competitors), as well as producing visually-appealing fits that are smooth (filtering out high-frequency noise) while adapting to sudden changes (retaining high-frequency signal). However, BARS is computationally intensive. The original implementation in S was too slow to be practical in certain situations, and was found to handle some data sets incorrectly. We have implemented BARS in C for the normal and Poisson cases, the latter being important in neurophysiological and other point-process applications. The C implementation includes all needed subroutines for fitting Poisson regression, manipulating B-splines (using code created by Bates and Venables), and finding starting values for Poisson regression (using code for density estimation created by Kooperberg). The code utilizes only freely-available external libraries (LAPACK and BLAS) and is otherwise self-contained. We have also provided wrappers so that BARS can be used easily within S or R.

Date: 2008-06-25
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:026:i01

DOI: 10.18637/jss.v026.i01

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