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Bayesian Analysis for Penalized Spline Regression Using WinBUGS

  • Ciprian M. Crainiceanu
  • David Ruppert
  • Matthew P. Wand
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    Penalized splines can be viewed as BLUPs in a mixed model framework, which allows the use of mixed model software for smoothing. Thus, software originally developed for Bayesian analysis of mixed models can be used for penalized spline regression. Bayesian inference for nonparametric models enjoys the flexibility of nonparametric models and the exact inference provided by the Bayesian inferential machinery. This paper provides a simple, yet comprehensive, set of programs for the implementation of nonparametric Bayesian analysis in WinBUGS. Good mixing properties of the MCMC chains are obtained by using low-rank thin-plate splines, while simulation times per iteration are reduced employing WinBUGS specific computational tricks.

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    Article provided by American Statistical Association in its journal Journal of Statistical Software.

    Volume (Year): 14 ()
    Issue (Month): i14 ()
    Pages:

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    Handle: RePEc:jss:jstsof:14:i14
    Contact details of provider: Web page: http://www.jstatsoft.org/

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    1. Berry S. M. & Carroll R. J & Ruppert D., 2002. "Bayesian Smoothing and Regression Splines for Measurement Error Problems," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 160-169, March.
    2. repec:cup:cbooks:9780521785167 is not listed on IDEAS
    3. Andrew Gelman, 2004. "Prior distributions for variance parameters in hierarchical models," Econometrics 0404001, EconWPA.
    4. Long Ngo & Matthew P. Wand, . "Smoothing with Mixed Model Software," Journal of Statistical Software, American Statistical Association, vol. 9(i01).
    5. repec:cup:cbooks:9780521780506 is not listed on IDEAS
    6. Andrew Gelman, 2004. "Prior distributions for variance parameters in hierarchical models," EERI Research Paper Series EERI_RP_2004_06, Economics and Econometrics Research Institute (EERI), Brussels.
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