Bayesian varying-coefficient models using adaptive regression splines

Biller, Clemens and Fahrmeir, Ludwig (2001): Bayesian varying-coefficient models using adaptive regression splines. In: Statistical Modelling, Vol. 1, No. 3: pp. 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.

• Item Type: Journal article
• Form of publication: Publisher's Version
• Faculties: Mathematics, Computer Science and Statistics > Statistics
• Subjects: 300 Social sciences > 310 Statistics
• ISSN: 1471-082X
• Alliance/National Licence: This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.
• Language: English