[R] mgcv::gam shrinkage of smooths

From: David Katz <david_at_davidkatzconsulting.com>
Date: Tue, 06 May 2008 15:34:13 -0700 (PDT)

In Dr. Wood's book on GAM, he suggests in section 4.1.6 that it might be useful to shrink a single smooth by adding S=S+epsilon*I to the penalty matrix S. The context was the need to be able to shrink the term to zero if appropriate. I'd like to do this in order to shrink the coefficients towards zero (irrespective of the penalty for "wiggliness") - but not necessarily all the way to zero. IE, my informal prior is to keep the contribution of a specific term small.

  1. Is adding eps*I to the penalty matrix an effective way to achieve this goal?
  2. How do I accomplish this in practice using mgcv::gam?

Thanks.

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Received on Tue 06 May 2008 - 22:58:21 GMT

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