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Splines with difference penalty and monotonic constraints #882

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lorentzenchr opened this issue Nov 13, 2024 · 0 comments
Open

Splines with difference penalty and monotonic constraints #882

lorentzenchr opened this issue Nov 13, 2024 · 0 comments

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@lorentzenchr
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lorentzenchr commented Nov 13, 2024 •
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As a user of GLMs/GAMs, I would like to

  • splines with a difference penalty without the hassle to specify the P2 matrix myself
  • optimize a single penalty per term (think of 2 features both modelled as splines)
  • use splines with monotonicity constraints

About monotonic splines, cf. Ramsay "Monotone Spline Regressions in Action" https://doi.org/10.1214/ss/1177012761:

  • One can use I-spline basis; or
  • Use differences of B-Splines
  • One needs to restrict the coefficients to be either >=0 (increasing) or <=0 (decreasing)
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@lorentzenchr