Bayesian varying-coefficient models using adaptive regression splines

Biller, Clemens und Fahrmeir, Ludwig (2001): Bayesian varying-coefficient models using adaptive regression splines. In: Statistical Modelling, Bd. 1, Nr. 3: S. 195-211

Abstract

Varying-coefficient models provide a flexible framework for semi- and nonparametric generalized regression analysis. We present a fully Bayesian B-spline basis function approach with adaptive knot selection. For each of the unknown regression functions or varying coefficients, the number and location of knots and the B-spline coefficients are estimated simultaneously using reversible jump Markov chain Monte Carlo sampling. The overall procedure can therefore be viewed as a kind of Bayesian model averaging. Although Gaussian responses are covered by the general framework, the method is particularly useful for fundamentally non-Gaussian responses, where less alternatives are available. We illustrate the approach with a thorough application to two data sets analysed previously in the literature: the kyphosis data set with a binary response and survival data from the Veteran’s Administration lung cancer trial.

• Dokumententyp: Zeitschriftenartikel
• Publikationsform: Publisher's Version
• Fakultät: Mathematik, Informatik und Statistik > Statistik
• Themengebiete: 300 Sozialwissenschaften > 310 Statistiken
• ISSN: 1471-082X
• Allianz-/Nationallizenz: Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.
• Sprache: Englisch