2020/03/24 by Meng, Cheng, Zhang, Xinlian, Zhang, Jingyi +2 · 1 citation
#Computation (stat.CO) #FOS: Computer and information sciences #Methodology (stat.ME)
paper · doi:10.48550/arxiv.2003.10609
We consider the problem of approximating smoothing spline estimators in a nonparametric regression model. When applied to a sample of size n, the smoothing spline estimator can be expressed as a linear combination of n basis functions, requiring O(n3) computational time when the number of predictors d≥ 2. Such a sizable computational cost hinders the broad applicability of smoothing splines. In practice, the full sample smoothing spline estimator can be approximated by an estimator based on q randomly-selected basis functions, resulting in a computational cost of O(nq2). It is known that these two estimators converge at the identical rate when q is of the order O\n2/(pr+1)\, where p∈ [1,2] depends on the true function η, and r > 1 depends on the type of spline. Such q is called the essential number of basis functions. In this article, we develop a more efficient basis selection method. By selecting the ones corresponding to roughly equal-spaced observations, the proposed method chooses a set of basis functions with a large diversity. The asymptotic analysis shows our proposed smoothing spline estimator can decrease q to roughly O\n1/(pr+1)\, when d≤ pr+1. Applications on synthetic and real-world datasets show the proposed method leads to a smaller prediction error compared with other basis selection methods.