A Generalized Fellner-Schall Method for Smoothing Parameter Optimization with Application to Tweedie Location, Scale and Shape Models

• Published in: Biometrics Vol. 73; no. 4; pp. 1071 - 1081
• Main Authors: Wood, Simon N., Fasiolo, Matteo
• Format: Journal Article
• Language: English
• Published: United States Wiley-Blackwell 01.12.2017; Blackwell Publishing Ltd
• Subjects: Algorithms; BIOMETRIC METHODOLOGY; biometry; Computer applications; Computing time; Derivatives; Fisheries; GAMLSS; Mathematical models; Methods; Optimization; Parameter estimation; REML; reproduction; Scale (ratio); Smoothing; Smoothing parameter; Sparse additive model; variance; Sparse additive model; Fisheries; GAMLSS; REML; Smoothing parameter

We consider the optimization of smoothing parameters and variance components in models with a regular log likelihood subject to quadratic penalization of the model coefficients, via a generalization of the method of Fellner (1986) and Schall (1991). In particular: (i) we generalize the original meth...