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Paper No. 08-02

Download 08-02

MJ Costa and JEH Shaw

Parametrization and Penalties in Spline Models with an Application to Survival Analysis

Abstract: In this paper we show how a simple parametrization, built from the definition of cubic splines, can aid in the implementation and interpretation of penalized spline models, whatever configuration of knots we choose to use. We call this parametrization value-first derivative parametrization. We perform Bayesian inference by exploring the natural link between quadratic penalties and Gaussian priors. However, a full Bayesian analysis seems feasible only for some penalty functionals. Alternatives include empirical Bayes methods involving model selection type criteria. The proposed methodology is illustrated by an application to survival analysis where the usual Cox model is extended to allow for time-varying regression coefficients.

Keywords: Penalized splines; Parametrization; Bayesian inference; Empirical Bayes; Survival analysis; Cox model.