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Regression splines

This module includes two spline implementations splines suitable for regression: linear splines using a hinge function basis, and natural cubic splines.

import numpy as np
import matplotlib.pyplot as plt
from regspline import LinearSpline
plt.close('all')

knots = [0,1,2]
coeffs = [1,2,3]
s = LinearSpline(knots, coeffs)
y=s(np.linspace(0,1))

x=np.linspace(0,np.pi)
y=np.sin(x)
xobs = np.repeat(x,50)
yobs = np.repeat(y,50) + 0.01*np.random.randn(*xobs.shape)

s, res = LinearSpline.from_data(xobs, yobs,
                                knots=np.linspace(0,np.pi,30),
                                method='OLS',
                                return_estim_result=True,
                                prune=True)

plt.plot(x,y)
plt.plot(x,s(x))

Several regression types are supported to extract the splines from data, including OLS, LASSO, and quantile regression. See the example files.

Installation

You can install this library directly from github:

pip install git+https://github.com/mvds314/regspline.git

There are two optional dependencies: scikit-learn, and cvxopt. They are only required to estimate splines on data with, respectively, support vector regressions, and LASSO.

Background

The module contains two splines:

  • A linear spline represented by Hinge functions: $h_i(x) = \max(x-k_i,0)$, where $k_i$ are the knots.
  • A natural cubic spline.

The splines chosen:

  • have coefficents that have a one-to-one correspondence with the knots.
  • have the ability that knots can be removed, e.g., when the corresponding coefficient is small or insignificant, without changing the basis functions corresponding to other knots.
  • have the ability to represent functions with sparse basis.

One way to interpret, e.g., the linear spline in the hings basis is as follows. $h_1(x)$ sets an initial slope from the first knot onwards. Then next basis function $h_2(x)$ can adjust the slope at the knot $k_2$, if no adjustment is required, its coefficient is insignificant and the knot can be removed from the spline without any impact on the other basis functions.

Related projects

Some projects with related methods:

The module differs from these implementations as it implements the splines as functions, and they are not integrated within an estimation framework.

Development

For development purposes, clone the repo:

git clone https://github.com/mvds314/regspline.git

Then navigate to the folder containing setup.py and run

pip install -e .

to install the package in edit mode.

Run unittests with pytest.

Install the optional dependencies to test all functionality.