bam.update
Update a strictly additive bam model for new data.
Description
Gaussian with identity link models fitted by bam
can be efficiently updated as new data becomes available, by simply updating the QR decomposition on which estimation is based, and re-optimizing the smoothing parameters, starting from the previous estimates. This routine implements this.
Usage
bam.update(b,data,chunk.size=10000)
Arguments
b | A |
data | Extra data to augment the original data used to obtain |
chunk.size | size of subsets of data to process in one go when getting fitted values. |
Details
bam.update
updates the QR decomposition of the (weighted) model matrix of the GAM represented by b
to take account of the new data. The orthogonal factor multiplied by the response vector is also updated. Given these updates the model and smoothing parameters can be re-estimated, as if the whole dataset (original and the new data) had been fitted in one go. The function will use the same AR1 model for the residuals as that employed in the original model fit (see rho
parameter of bam
).
Note that there may be small numerical differences in fit between fitting the data all at once, and fitting in stages by updating, if the smoothing bases used have any of their details set with reference to the data (e.g. default knot locations).
Value
An object of class "gam"
as described in gamObject
.
WARNINGS
AIC computation does not currently take account of AR model, if used.
Author(s)
Simon N. Wood [email protected]
References
https://www.maths.ed.ac.uk/~swood34/
See Also
Examples
library(mgcv) ## following is not *very* large, for obvious reasons... set.seed(8) n <- 5000 dat <- gamSim(1,n=n,dist="normal",scale=5) dat[c(50,13,3000,3005,3100),]<- NA dat1 <- dat[(n-999):n,] dat0 <- dat[1:(n-1000),] bs <- "ps";k <- 20 method <- "GCV.Cp" b <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+ s(x3,bs=bs,k=k),data=dat0,method=method) b1 <- bam.update(b,dat1) b2 <- bam.update(bam.update(b,dat1[1:500,]),dat1[501:1000,]) b3 <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+ s(x3,bs=bs,k=k),data=dat,method=method) b1;b2;b3 ## example with AR1 errors... e <- rnorm(n) for (i in 2:n) e[i] <- e[i-1]*.7 + e[i] dat$y <- dat$f + e*3 dat[c(50,13,3000,3005,3100),]<- NA dat1 <- dat[(n-999):n,] dat0 <- dat[1:(n-1000),] b <- bam(y ~ s(x0,bs=bs,k=k)+s(x1,bs=bs,k=k)+s(x2,bs=bs,k=k)+ s(x3,bs=bs,k=k),data=dat0,rho=0.7) b1 <- bam.update(b,dat1) summary(b1);summary(b2);summary(b3)
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Licensed under the GNU General Public License.