A year ago in the Stan Google, a Marise asked to check an implementation of restricted cubic splines , a method made popular (I think) by Frank Harrell. She apparently didn’t do a good job coding this and was told to learn the basics before trying to develop her own implementation, so I wasn’t helped…

There is no function in the Stan Math library that “does” a restricted cubic spline. You can use pretty much any kind of spline supported by the mgcv package using stan_gamm4 in rstanarm or brm in brms. Or there is a case study about splines at http://mc-stan.org/users/documentation/case-studies/s…

A while ago I implemented Natural Cubic Splines (and their derivative) in Stan, as defined in Royston & Parmar . Haven’t tested it very thoroughly, but it could be a starting point. Any feedback is highly welcome. Below comes a snippet that should be enough to get started… functions { /** *…

I’d like to learn what is the best medium for adding new easy-to-use spline fitting capabilities, i.e. should this become part of brms, rstanarm, or base stan? I’ve liked the restricted cubic spline function because it’s easy to implement and you obtain a simple prediction equation at the end. WIt…

[image] harrelfe: I’d like to learn what is the best medium for adding new easy-to-use spline fitting capabilities, i.e. should this become part of brms , rstanarm , or base stan ? What precisely do you mean?

@harrelfe A case could be made for including spline related functions in the Stan Math C++ library, so that they could be used by all interfaces to Stan. This is somewhat involved but there plenty of people who are capable of implementing it. The main reason why I think no one has done anything on t…

Seconding what Ben said but also: to get adoption outside of the R universe I’m supportive of getting (the right) splines implemented in the Stan Math C++ library. Some arguments from your end about which splines to implement (whether they’re in mgcv or not) would be helpful.

I think that implementing a variety of splines deep within stan is a good idea, for efficiency and precision. I have nothing against using mgcv as long as I can fit a natural spline (restricted cubic spline). How does one obtain the design matrix or such a spline function from mgcv without using t…

[image] harrelfe: If someone can answer a background question it would shed some light on the path forward: the easy-to-use truncated power basis for the linear tail-restricted cubic spline function has terms in the design matrix that can be very co-linear. Does this create any convergence probl…

Could something like the QR decomposition strategy for design matrices with collinearity problems also work in this case? http://mc-stan.org/users/documentation/case-studies/qr_regression.html http://mc-stan.org/rstanarm/reference/QR-argument.html

I think that can definitely help. The user just has to transform back and forth, and prior specification can be tricky as mentioned in the first link you provided.

Restricted cubic splines in Stan?

Modeling

mike-lawrence May 21, 2018, 9:31pm 16

On the topic of QR decomposition & splines, see here: Spline fitting demo inc comparison of sparse vs non-sparse

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Restricted cubic splines in Stan?

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