An Asympirical Smoothing Parameters Selection Approach for Smoothing Spline ANOVA Models in Large Samples (2004.10271v1)

Abstract: Large samples have been generated routinely from various sources. Classic statistical models, such as smoothing spline ANOVA models, are not well equipped to analyze such large samples due to expensive computational costs. In particular, the daunting computational costs of selecting smoothing parameters render smoothing spline ANOVA models impractical. In this article, we develop an asympirical, i.e., asymptotic and empirical, smoothing parameters selection approach for smoothing spline ANOVA models in large samples. The idea of this approach is to use asymptotic analysis to show that the optimal smoothing parameter is a polynomial function of the sample size and an unknown constant. The unknown constant is then estimated through empirical subsample extrapolation. The proposed method significantly reduces the computational costs of selecting smoothing parameters in high-dimensional and large samples. We show smoothing parameters chosen by the proposed method tend to the optimal smoothing parameters that minimise a specific risk function. In addition, the estimator based on the proposed smoothing parameters achieves the optimal convergence rate. Extensive simulation studies demonstrate the numerical advantage of the proposed method over competing methods in terms of relative efficacies and running time. On an application to molecular dynamics data with nearly one million observations, the proposed method has the best prediction performance.