Splines2.jl

Spline bases for regression modelling in Julia
Author mclements
Popularity
5 Stars
Updated Last
1 Year Ago
Started In
January 2020

Splines2.jl package for regression splines

A Julia package for regression splines. The package currently includes B-splines, natural B-splines, M-splines and I-splines.

News

Version 0.2.0:

  • Mainly bug fixes.
  • A change of behaviour for Splines2.is_ and Splines2.is: intercept=true will include a columns of ones, while the default intercept=false will keep all of the spline terms, but exclude the column of ones. This behaviour is different to the splines2 package in R, which will give all of the spline terms for intercept=TRUE and drop the first spline term for intercept=FALSE.

Installation

The package is not currently registered. Installation from GitHub:

using Pkg; Pkg.add(PackageSpec(url = "https://github.com/mclements/Splines2.jl"))

Usage

Exported functions include Splines2.bs, Splines2.ns, Splines2.ms and Splines2.is, which provide evaluating spline bases for B-splines, natural B-splines, M-splines and I-splines, respectively. These functions take an ::Array{<:Real,1} argument and some design information and return the given spline basis.

Documentation for Splines2.bs

bs(x :: Array{T,1}; <keyword arguments>) where T<:Real

Calculate a basis for B-splines.

The keyword arguments include one of:

  1. df, possibly in combination with intercept
  2. boundary_knots and interior_knots
  3. knots

Arguments

  • boundary_knots :: Union{Tuple{T,T},Nothing} = nothing: boundary knots
  • interior_knots :: Union{Array{T,1},Nothing} = nothing: interior knots
  • order :: Int32 = 4: order of the spline
  • intercept :: Bool = false: bool for whether to include an intercept
  • df :: Int32 = order - 1 + Int32(intercept): degrees of freedom
  • knots :: Union{Array{T,1}, Nothing} = nothing: full set of knots (excluding repeats)
  • centre :: Union{T,Nothing} = nothing): value to centre the splines
  • ders :: Int32 = 0: derivatives of the splines

Documentation for Splines2.bs_

bs_(x :: Array{T,1}; <keyword arguments>) where T<:Real

Calculate a basis for B-splines and return a function with signature (x:: Array{T,1}; ders :: Int32 = 0) for evaluation of ders derivative for the splines at x.

The keyword arguments include one of:

  1. df, possibly in combination with intercept
  2. boundary_knots and interior_knots
  3. knots

Arguments

  • boundary_knots :: Union{Tuple{T,T},Nothing} = nothing: boundary knots
  • interior_knots :: Union{Array{T,1},Nothing} = nothing: interior knots
  • order :: Int32 = 4: order of the spline
  • intercept :: Bool = false: bool for whether to include an intercept
  • df :: Int32 = order - 1 + Int32(intercept): degrees of freedom
  • knots :: Union{Array{T,1}, Nothing} = nothing: full set of knots (excluding repeats)
  • centre :: Union{T,Nothing} = nothing): value to centre the splines

The documentation for the other bases are similar, except that the I-splines do not include the centre argument.

Examples

Some short examples are given below.

julia> using Splines2
julia> x = collect(0.0:0.1:1.0);
julia> bs(x, df=3)

11×3 Array{Float64,2}:
 0.0    0.0    0.0  
 0.243  0.027  0.001
 0.384  0.096  0.008
 0.441  0.189  0.027
 0.432  0.288  0.064
 0.375  0.375  0.125
 0.288  0.432  0.216
 0.189  0.441  0.343
 0.096  0.384  0.512
 0.027  0.243  0.729
 0.0    0.0    1.0
 
julia> ns(x, boundary_knots=(0.0,1.0), interior_knots=[0.2])
	
11×2 Array{Float64,2}:
 0.0        0.0      
 0.196457  -0.106365 
 0.363908  -0.179949 
 0.479393  -0.194802 
 0.544119  -0.152288 
 0.565337  -0.0606039
 0.550299   0.072056 
 0.506256   0.237496 
 0.44046    0.427522 
 0.360161   0.633938 
 0.272611   0.84855
 
 julia> ms(x, knots=[0.0,0.4,1.0], centre=0.4)

11×4 Array{Float64,2}:
 -1.44      -1.92       -0.64      0.0      
  0.6075    -1.665      -0.63      0.0      
  1.14      -1.08       -0.56      0.0      
  0.7425    -0.435      -0.37      0.0      
  0.0        0.0         0.0       0.0      
 -0.606667   0.0244444   0.563704  0.0308642
 -1.01333   -0.284444    1.14963   0.246914 
 -1.26      -0.78        1.54      0.833333 
 -1.38667   -1.31556     1.51704   1.97531  
 -1.43333   -1.74444     0.862963  3.85802  
 -1.44      -1.92       -0.64      6.66667
 
 julia> is(x, df=4)

11×4 Array{Float64,2}:
 0.0     0.0     0.0     0.0   
 0.3439  0.0523  0.0037  0.0001
 0.5904  0.1808  0.0272  0.0016
 0.7599  0.3483  0.0837  0.0081
 0.8704  0.5248  0.1792  0.0256
 0.9375  0.6875  0.3125  0.0625
 0.9744  0.8208  0.4752  0.1296
 0.9919  0.9163  0.6517  0.2401
 0.9984  0.9728  0.8192  0.4096
 0.9999  0.9963  0.9477  0.6561
 1.0     1.0     1.0     1.0   

We also provide functions that return a function for evaluating spline bases with a function signature (x::Array{T<:Real,1}; ders::Int32 = 0). These are useful for "safe" predictions in regression modelling. As an example:

julia> using Splines2, GLM, Random
julia> Random.seed!(12345);
julia> x = collect(range(0.0, length=301, stop=2.0*pi));
julia> y = sin.(x)+randn(length(x)); 
julia> ns1 = Splines2.ns_(x,df=5,intercept=true); # this is a function
julia> X = ns1(x);
julia> fit1 = lm(X,y)

LinearModel{GLM.LmResp{Array{Float64,1}},GLM.DensePredChol{Float64,LinearAlgebra.Cholesky{Float64,Array{Float64,2}}}}:

Coefficients:
────────────────────────────────────────────────────────────────────
     Estimate  Std. Error    t value  Pr(>|t|)  Lower 95%  Upper 95%
────────────────────────────────────────────────────────────────────
x1   1.23751     0.269035   4.59981     <1e-5    0.708047   1.76698 
x2   0.12448     0.249256   0.499407    0.6179  -0.366058   0.615018
x3  -1.89278     0.256808  -7.37043     <1e-11  -2.39819   -1.38738 
x4   0.187169    0.22469    0.833012    0.4055  -0.255023   0.629361
x5  -0.240554    0.254986  -0.943404    0.3462  -0.742369   0.26126 
────────────────────────────────────────────────────────────────────

julia> newx = collect(0.0:0.5:3.5);
julia> predict(fit1, ns1(newx)) # safe predictions

8-element Array{Float64,1}:
  0.2982757838333453 
  0.6021897830602807 
  0.8365641389496451 
  0.9318592081638681 
  0.8310124040845238 
  0.5536590079608558 
  0.14855743047881534
 -0.3299373638222967 

Using Splines2 with @formula

We provide code below for using the Splines2 package with @formula. Note that these do not provide "safe" predictions.

using StatsModels
ns(x,df) = Splines2.ns(x,df=df,intercept=true) # assumes intercept
const NSPLINE_CONTEXT = Any
struct NSplineTerm{T,D} <: AbstractTerm
    term::T
    df::D
end
Base.show(io::IO, p::NSplineTerm) = print(io, "ns($(p.term), $(p.df))")
function StatsModels.apply_schema(t::FunctionTerm{typeof(ns)},
                                  sch::StatsModels.Schema,
                                  Mod::Type{<:NSPLINE_CONTEXT})
    apply_schema(NSplineTerm(t.args_parsed...), sch, Mod)
end
function StatsModels.apply_schema(t::NSplineTerm,
                                  sch::StatsModels.Schema,
                                  Mod::Type{<:NSPLINE_CONTEXT})
    term = apply_schema(t.term, sch, Mod)
    isa(term, ContinuousTerm) ||
        throw(ArgumentError("NSplineTerm only works with continuous terms (got $term)"))
    isa(t.df, ConstantTerm) ||
        throw(ArgumentError("NSplineTerm df must be a number (got $(t.df))"))
    NSplineTerm(term, t.df.n)
end
function StatsModels.modelcols(p::NSplineTerm, d::NamedTuple)
    col = modelcols(p.term, d)
    Splines2.ns(col, df=p.df,intercept=true)
end
StatsModels.terms(p::NSplineTerm) = terms(p.term)
StatsModels.termvars(p::NSplineTerm) = StatsModels.termvars(p.term)
StatsModels.width(p::NSplineTerm) = 1
StatsModels.coefnames(p::NSplineTerm) = "ns(" .* coefnames(p.term) .* "," .* string.(1:p.df) .* ")"

To show that this is not safe:

julia> using DataFrames
julia> d = DataFrames.DataFrame(x=x,y=y);
julia> fit2 = lm(@formula(y~ns(x,5)+0),d) # equivalent to fit1 with nicer labels

StatsModels.TableRegressionModel{LinearModel{GLM.LmResp{Array{Float64,1}},GLM.DensePredChol{Float64,LinearAlgebra.Cholesky{Float64,Array{Float64,2}}}},Array{Float64,2}}

y ~ 0 + ns(x, 5)

Coefficients:
─────────────────────────────────────────────────────────────────────────
          Estimate  Std. Error    t value  Pr(>|t|)  Lower 95%  Upper 95%
─────────────────────────────────────────────────────────────────────────
ns(x,1)   1.23751     0.269035   4.59981     <1e-5    0.708047   1.76698 
ns(x,2)   0.12448     0.249256   0.499407    0.6179  -0.366058   0.615018
ns(x,3)  -1.89278     0.256808  -7.37043     <1e-11  -2.39819   -1.38738 
ns(x,4)   0.187169    0.22469    0.833012    0.4055  -0.255023   0.629361
ns(x,5)  -0.240554    0.254986  -0.943404    0.3462  -0.742369   0.26126 
─────────────────────────────────────────────────────────────────────────

julia> predict(fit2, DataFrames.DataFrame(x=newx)) # unsafe predictions!

8-element Array{Union{Missing, Float64},1}:
  0.29827578383334535
  0.7976143687096604 
  0.8964195213823501 
  0.40991870738161984
 -0.4167421148184624 
 -1.0400611367418444 
 -0.7710405835443831 
  0.1787886772299305

For further details, see the discussion here.

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