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Lang, S. and Brezger, Andreas (2001): Bayesian P-Splines. Collaborative Research Center 386, Discussion Paper 236
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Abstract

P-splines are an attractive approach for modelling nonlinear smooth effects of covariates within the generalized additive and varying coefficient models framework. In this paper we propose a Bayesian version for P-splines and generalize the approach for one dimensional curves to two dimensional surface fitting for modelling interactions between metrical covariates. A Bayesian approach to P-splines has the advantage of allowing for simultaneous estimation of smooth functions and smoothing parameters. Moreover, it can easily be extended to more complex formulations, for example to mixed models with random effects for serially or spatially correlated response. Additionally, the assumption of constant smoothing parameters can be replaced by allowing the smoothing parameters to be locally adaptive. This is particularly useful in situations with changing curvature of the underlying smooth function or where the function is highly oscillating. Inference is fully Bayesian and uses recent MCMC techniques for drawing random samples from the posterior. In a couple of simulation studies the performance of Bayesian P-splines is studied and compared to other approaches in the literature. We illustrate the approach by a complex application on rents for flats in Munich.