Krivobokova, Tatyana Kneib, Thomas Claeskens, Gerda
Year of Publication:
Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 12
In this paper we construct simultaneous confidence bands for a smooth curve using penalized spline estimators. We consider three types of estimation methods: (i) as a standard (fixed effect) nonparametric model, (ii) using the mixed model framework with the spline coefficients as random effects and (iii) a Bayesian approach. The volume-of-tube formula is applied for the first two methods and compared from a frequentist perspective to Bayesian simultaneous confidence bands. It is shown that the mixed model formulation of penalized splines can help to obtain, at least approximately, confidence bands with either Bayesian or frequentist properties. Simulations and data analysis support the methods proposed. The R package ConfBands accompanies the paper.
Bayesian penalized splines B-splines Confidence band Mixed model Penalization