Varying Coefficient Model via Adaptive Spline Fitting

Abstract

The varying coefficient model has received wide attention from researchers as it is a powerful dimension reduction tool for non-parametric modeling. Most existing varying coefficient models fitted with polynomial spline assume equidistant knots and take the number of knots as the hyperparameter. However, imposing equidistant knots appears to be too rigid, and determining the optimal number of knots systematically is also a challenge. In this article, we deal with this challenge by utilizing polynomial splines with adaptively selected and predictorspecific knots to fit the coefficients in varying coefficient models. An efficient dynamic programming algorithm is proposed to find the optimal solution. Numerical results show that the new method can achieve significantly smaller mean squared errors for coefficients compared with the commonly used kernel-based method.