On Tuesday 06 May 2008 23:34, David Katz wrote: > In Dr. Wood's book on GAM, he suggests in section 4.1.6 that it might be > useful to shrink a single smooth by adding S=S+epsilon*I to the penalty > matrix S. The context was the need to be able to shrink the term to zero if > appropriate. I'd like to do this in order to shrink the coefficients > towards zero (irrespective of the penalty for "wiggliness") - but not > necessarily all the way to zero. IE, my informal prior is to keep the > contribution of a specific term small. > > 1) Is adding eps*I to the penalty matrix an effective way to achieve this > goal? > > 2) How do I accomplish this in practice using mgcv::gam?
Are you saying that you would like to specify the amount of shrinkage directly, with the degree of shrinkage set `by hand' or do you want mgcv::gam to estimate the degree of shrinkage? If you want to supply a fixed ridge penalty then use argument `H' of mgcv::gam, which is designed for just this sort of purpose. If you want what's suggested in section 4.1.6 then try s(...,bs="ts") or s(...,bs="cs"). If you want to add an extra ridge penalty to a smooth and have mgcv::gam estimate its smoothing parameter, then you would need to add write a smoother class to do this (by modifying one of the existing ones). See ?p.spline, or exercise 8, chapter 5 of Wood (2006) "GAMs:An Intro with R". best, Simon -- > Simon Wood, Mathematical Sciences, University of Bath, Bath, BA2 7AY UK > +44 1225 386603 www.maths.bath.ac.uk/~sw283 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
