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Out-of-Sample Prediction in Multidimensional P-Spline Models

Author

Listed:
  • Alba Carballo

    (Department of Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Spain
    These authors contributed equally to this work.)

  • María Durbán

    (Department of Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Spain
    These authors contributed equally to this work.)

  • Dae-Jin Lee

    (BCAM—Basque Center for Applied Mathematics, 48009 Bilbao, Spain
    These authors contributed equally to this work.)

Abstract

The prediction of out-of-sample values is an interesting problem in any regression model. In the context of penalized smoothing using a mixed-model reparameterization, a general framework has been proposed for predicting in additive models but without interaction terms. The aim of this paper is to generalize this work, extending the methodology proposed in the multidimensional case, to models that include interaction terms, i.e., when prediction is carried out in a multidimensional setting. Our method fits the data, predicts new observations at the same time, and uses constraints to ensure a consistent fit or impose further restrictions on predictions. We have also developed this method for the so-called smooth-ANOVA model, which allows us to include interaction terms that can be decomposed into the sum of several smooth functions. We also develop this methodology for the so-called smooth-ANOVA models, which allow us to include interaction terms that can be decomposed as a sum of several smooth functions. To illustrate the method, two real data sets were used, one for predicting the mortality of the U.S. population in a logarithmic scale, and the other for predicting the aboveground biomass of Populus trees as a smooth function of height and diameter. We examine the performance of interaction and the smooth-ANOVA model through simulation studies.

Suggested Citation

  • Alba Carballo & María Durbán & Dae-Jin Lee, 2021. "Out-of-Sample Prediction in Multidimensional P-Spline Models," Mathematics, MDPI, vol. 9(15), pages 1-23, July.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:15:p:1761-:d:601590
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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