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Concept
Multivariate adaptive regression spline
Summary
In statistics, multivariate adaptive regression splines (MARS) is a form of regression analysis introduced by Jerome H. Friedman in 1991. It is a non-parametric regression technique and can be seen as an extension of linear models that automatically models nonlinearities and interactions between variables.
The term "MARS" is trademarked and licensed to Salford Systems. In order to avoid trademark infringements, many open-source implementations of MARS are called "Earth".
This section introduces MARS using a few examples. We start with a set of data: a matrix of input variables x, and a vector of the observed responses y, with a response for each row in x. For example, the data could be:
Here there is only one independent variable, so the x matrix is just a single column. Given these measurements, we would like to build a model which predicts the expected y for a given x.
A linear model for the above data is
The hat on the indicates that is estimated from the data. The figure on the right shows a plot of this function:
a line giving the predicted versus x, with the original values of y shown as red dots.
The data at the extremes of x indicates that the relationship between y and x may be non-linear (look at the red dots relative to the regression line at low and high values of x). We thus turn to MARS to automatically build a model taking into account non-linearities. MARS software constructs a model from the given x and y as follows
The figure on the right shows a plot of this function: the predicted versus x, with the original values of y once again shown as red dots. The predicted response is now a better fit to the original y values.
MARS has automatically produced a kink in the predicted y to take into account non-linearity. The kink is produced by hinge functions. The hinge functions are the expressions starting with (where is if , else ). Hinge functions are described in more detail below.
In this simple example, we can easily see from the plot that y has a non-linear relationship with x (and might perhaps guess that y varies with the square of x).
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