Model selection in spline nonparametric regression

• 成果类型: Article
• 署名作者: Wood, S; Kohn, R; Shively, T; Jiang, WX
• 署名单位: University of New South Wales Sydney; University of Texas System; University of Texas Austin; Northwestern University
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00328
• 发表日期: 2002
• 页码: 119-139
• 关键词: bayesian-approach; binary

摘要

A Bayesian approach is presented for model selection in nonparametric regression with Gaussian errors and in binary nonparametric regression. A smoothness prior is assumed for each component of the model and the posterior probabilities of the candidate models are approximated using the Bayesian information criterion. We study the model selection method by simulation and show that it has excellent frequentist properties and gives improved estimates of the regression surface. All the computations are carried out efficiently using the Gibbs sampler.