Variance Reduction in Smoothing Splines
Rootzen, Holger and Rudemo, Mats
We develop a variance reduction method for smoothing splines. For a given point of estimation, we define a variance-reduced spline estimate as a linear combination of classical spline estimates at three nearby points. We first develop a variance reduction method for spline estimators in univariate regression models. We then develop an analogous variance reduction method for spline estimators in clustered/longitudinal models. Simulation studies are performed which demonstrate the efficacy of our variance reduction methods in finite sample settings. Finally, a real data analysis with the motorcycle data set is performed. Here we consider variance estimation and generate 95% pointwise confidence intervals for the unknown regression function.
R. Paige et al., "Variance Reduction in Smoothing Splines," Scandinavian Journal of Statistics, Wiley-Blackwell, Jan 2009.
The definitive version is available at http://dx.doi.org/10.1111/j.1467-9469.2008.00616.x
Mathematics and Statistics
Keywords and Phrases
clustered/longitudinal data; non=parametric regression; smooting splines; variance reduction
Article - Journal
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