S-estimation for penalized regression splines

This article is about S-estimation for penalized regression splines. Penalized regression splines are one of the currently most used methods for smoothing noisy data. The estimation method used for fitting such a penalized regression spline model is mostly based on least squares methods, which are known to be sensitive to outlying observations. In real-world applications, outliers are quite commonly observed. There are several robust estimation methods taking outlying observations into account. We define and study S-estimators for penalized regression spline models. Hereby we replace the least squares estimation method for penalized regression splines by a suitable S-estimation method. By keeping the modeling by means of splines and by keeping the penalty term, though using S-estimators instead of least squares estimators, we arrive at an estimation method that is both robust and flexible enough to capture nonlinear trends in the data. Simulated data and a real data example are used to illustrate the effectiveness of the procedure. Software code (for use with R) is available online.

Publication year:2010

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BOF-publication weight:1

CSS-citation score:1

Authors:International

Authors from:Higher Education

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