Bayesian Inference for Generalized Additive Regression based on Dynamic Models
نویسنده
چکیده
We present a general approach for Bayesian inference via Markov chain Monte Carlo MCMC simulation in generalized additive semiparametric and mixed models It is particularly appropriate for discrete and other fundamentally non Gaussian responses where Gibbs sampling techniques developed for Gaussian models cannot be applied We use the close relation between nonparametric regression and dynamic or state space models to develop posterior sampling procedures that are based on recent Metropolis Hasting algorithms for dynamic generalized linear models We illustrate the approach with applications to credit scoring and unemployment duration
منابع مشابه
Bayesian Inference for Spatial Beta Generalized Linear Mixed Models
In some applications, the response variable assumes values in the unit interval. The standard linear regression model is not appropriate for modelling this type of data because the normality assumption is not met. Alternatively, the beta regression model has been introduced to analyze such observations. A beta distribution represents a flexible density family on (0, 1) interval that covers symm...
متن کاملCost Analysis of Acceptance Sampling Models Using Dynamic Programming and Bayesian Inference Considering Inspection Errors
Acceptance Sampling models have been widely applied in companies for the inspection and testing the raw material as well as the final products. A number of lots of the items are produced in a day in the industries so it may be impossible to inspect/test each item in a lot. The acceptance sampling models only provide the guarantee for the producer and consumer that the items in the lots are acco...
متن کاملGeneralized structured additive regression based on Bayesian P-splines
Generalized additive models (GAM) for modelling nonlinear effects of continuous covariates are now well established tools for the applied statistician. In this paper we develop Bayesian GAM’s and extensions to generalized structured additive regression based on one or two dimensional P-splines as the main building block. The approach extends previous work by Lang and Brezger (2003) for Gaussian...
متن کاملStructured Additive Regression Models: An R Interface to BayesX
Structured additive regression (STAR) models provide a flexible framework for modeling possible nonlinear effects of covariates: They contain the well established frameworks of generalized linear models (GLM) and generalized additive models (GAM) as special cases but also allow a wider class of effects, e.g., for geographical or spatio-temporal data, allowing for specification of complex and re...
متن کاملApproximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations
Structured additive regression models are perhaps the most commonly used class of models in statistical applications. It includes, among others, (generalized) linear models, (generalized) additive models, smoothing spline models, state space models, semiparametric regression, spatial and spatiotemporal models, log-Gaussian Cox processes and geostatistical and geoadditive models. We consider app...
متن کامل