[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?


View this message in context: http://www.nabble.com/mgcv%3A%3Agam-shrinkage-of-smooths-tp17093645p17093645.html
Sent from the R help mailing list archive at Nabble.com.

R-help_at_r-project.org mailing list
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Received on Tue 06 May 2008 - 22:58:21 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 12 May 2008 - 10:30:41 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive