Parametrization and penalties in spline models with an application to survival analysis

Authors:
M. J. Costa;J. E. H. Shaw
Affiliations:
University of Warwick, Department of Statistics, Coventry CV4 7AL, UK;University of Warwick, Department of Statistics, Coventry CV4 7AL, UK
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

A simple parametrization, built from the definition of cubic splines, is shown to facilitate the implementation and interpretation of penalized spline models, whatever configuration of knots is used. The parametrization is termed value-first derivative parametrization. Inference is Bayesian and explores 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 inference 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.