j***@gmail.com
2018-11-14 03:54:59 UTC
https://gist.github.com/josef-pkt/5e73596fab72da427a9f2be59c0fef1b
The core functionality works.
I have now full agreement with R package mgcv for two types of splines,
cyclic cubic splines and B-splines, and their penalization.
Some differences to mgcv are in the significance/wald test and in the
options for penalization parameter selection. Wood/mgcv is either doing
something that I don't understand or something too complicated that I don't
want to implement right now.
Some convenience features like formula usage are still incomplete or not
supported.
It fully support partial linear models.
y = X b + f_1(z_1) + f_2(z_2) + ...
where the f are nonlinear functions approximated by penalized splines.
Extras like var_weights and freq_weights are not yet supported.
But we inherit some goodies like sandwich covariances, that are for example
robust to unspecified heteroscedasticity, which mgcv does not have..
Josef
The core functionality works.
I have now full agreement with R package mgcv for two types of splines,
cyclic cubic splines and B-splines, and their penalization.
Some differences to mgcv are in the significance/wald test and in the
options for penalization parameter selection. Wood/mgcv is either doing
something that I don't understand or something too complicated that I don't
want to implement right now.
Some convenience features like formula usage are still incomplete or not
supported.
It fully support partial linear models.
y = X b + f_1(z_1) + f_2(z_2) + ...
where the f are nonlinear functions approximated by penalized splines.
Extras like var_weights and freq_weights are not yet supported.
But we inherit some goodies like sandwich covariances, that are for example
robust to unspecified heteroscedasticity, which mgcv does not have..
Josef