Is there a way to force monotonicity upon a spline in a brms model? Due to sparsity at either end of a continuous covariate, we are seeing an up/down tick which we believe to be overfitting / bad fitting and would like to guard against. Any help would be much appreciated.
Thanks!
monotonicity upon a spline in a brms model
BRMS uses MGCV library for splines. Monotonicity requires sampling from a multinormal distribution with unequality constraints. Algorithms exists for this, but are not implemented in STAN yet.
Now, if we move to Gaussian processes, we have a great paper of @avehtari
and as shown in the post Curve fitting -- including convexity constraint - #13 by maxbiostat
it is possible to do Monotonicity in Stan.
Although this road is paved by the most comfort, it is one to gain new learning experiences.