Model-based Smoothing with Integrated Wiener Processes and Overlapping Splines

TL;DR

This paper introduces an efficient finite element approximation called overlapping splines (O-splines) for Gaussian process models based on integrated Wiener processes, enabling accurate joint inference of functions and derivatives for any order p.

Contribution

The paper proposes a novel O-spline approximation that generalizes FEM for IWP, allowing consistent inference of derivatives and computational efficiency for any order p.

Findings

O-spline approximation converges to true IWP as knots increase

Provides a unified prior definition based on predictive standard deviation

Demonstrates practical application in COVID death rate analysis

Abstract

In many applications that involve the inference of an unknown smooth function, the inference of its derivatives will often be just as important as that of the function itself. To make joint inferences of the function and its derivatives, a class of Gaussian processes called $p^{\text{th}}$ order Integrated Wiener's Process (IWP), is considered. Methods for constructing a finite element (FEM) approximation of an IWP exist but have focused only on the order $p = 2$ case which does not allow appropriate inference for derivatives, and their computational feasibility relies on additional approximation to the FEM itself. In this article, we propose an alternative FEM approximation, called overlapping splines (O-spline), which pursues computational feasibility directly through the choice of test functions, and mirrors the construction of an IWP as the Ospline results from the multiple integrations of these same test functions. The O-spline approximation applies for any order $p \in \mathbb{Z}^+$, is computationally efficient and provides consistent inference for all derivatives up to order $p-1$. It is shown both theoretically, and empirically through simulation, that the O-spline approximation converges to the true IWP as the number of knots increases. We further provide a unified and interpretable way to define priors for the smoothing parameter based on the notion of predictive standard deviation (PSD), which is invariant to the order $p$ and the placement of the knot. Finally, we demonstrate the practical use of the O-spline approximation through simulation studies and an analysis of COVID death rates where the inference is carried on both the function and its derivatives where the latter has an important interpretation in terms of the course of the pandemic.