Modular regression - a Lego system for building structured additive distributional regression models with tensor product interactions

Thomas Kneib (), Nadja Klein, Stefan Lang and Nikolaus Umlauf
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Thomas Kneib: Georg-August-Universität Göttingen
Nadja Klein: Humboldt Universität zu Berlin
Stefan Lang: Universität Innsbruck
Nikolaus Umlauf: Universität Innsbruck

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2019, vol. 28, issue 1, No 1, 39 pages

Abstract: Abstract Semiparametric regression models offer considerable flexibility concerning the specification of additive regression predictors including effects as diverse as nonlinear effects of continuous covariates, spatial effects, random effects, or varying coefficients. Recently, such flexible model predictors have been combined with the possibility to go beyond pure mean-based analyses by specifying regression predictors on potentially all parameters of the response distribution in a distributional regression framework. In this paper, we discuss a generic concept for defining interaction effects in such semiparametric distributional regression models based on tensor products of main effects. These interactions can be assigned anisotropic penalties, i.e. different amounts of smoothness will be associated with the interacting covariates. We investigate identifiability and the decomposition of interactions into main effects and pure interaction effects (similar as in a smoothing spline analysis of variance) to facilitate a modular model building process. The decomposition is based on orthogonality in function spaces which allows for considerable flexibility in setting up the effect decomposition. Inference is based on Markov chain Monte Carlo simulations with iteratively weighted least squares proposals under constraints to ensure identifiability and effect decomposition. One important aspect is therefore to maintain sparse matrix structures of the tensor product also in identifiable, decomposed model formulations. The performance of modular regression is verified in a simulation on decomposed interaction surfaces of two continuous covariates and two applications on the construction of spatio-temporal interactions for the analysis of precipitation on the one hand and functional random effects for analysing house prices on the other hand.

Keywords: Constrained sampling; Distributional regression; Functional random effects; Markov chain Monte Carlo simulations; Penalised splines; Smoothing spline analysis of variance; Space–time models; Tensor product interactions; 62G08; 62J12; 62H11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11749-019-00631-z

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