Flexible Regression and Smoothing

Mikis D. Stasinopoulos, Robert A. Rigby, Gillian Z. Heller, Vlasios Voudouris, Fernanda De Bastiani

"That the authors succeed in communicating the process of learning from data using the GAMLSS suite of tool is due to the clear and effective organization of the book. The book is a complete introduction to GAMLSS models (and by extension GLMs and GAMs) as well as some newer techniques such as semi-parametric neural networks/deep learning and trees. I highly recommend it to any reader interested in advanced machine learning techniques."—Carlo Di Maio, European Central Bank "’Flexible Regression and Smoothing: Using GAMLSS in R’ is a comprehensive and authoritative text from the co-authors of perhaps the most flexible regression modeling framework in statistics and supervised machine learning. Traditional regression approaches focus on the mean of the distribution conditional on a set of predictor variables. GAMLSS extends this up to four distribution parameters which are modeled as additive functions of predictor variables. Through this extension, the analyst has a choice of over 90 continuous, discrete and mixed distributions for the response variable which allows modeling of highly skewed and kurtotic distributions while improving transparency and interpretability for the effects of predictor variables driving the model. This well-written book details the methodology and R packages underlying the framework including algorithms, model fitting, additive terms, model diagnostics and examples with real data. The impact of GAMLSS has been demonstrated in many industries including medicine, environmental science, biology, finance and insurance. Data scientists, quantitative analysts and researchers will be enlightened when discovering the myriad of modeling opportunities through the material in this landmark text."—Edward Tong, PhD"Generalized additive models for location, scale, and shape (GAMLSS) as introduced by Bob Rigby and Mikis Stasinopoulos in their seminal 2005 paper are one versatile, yet simple method that allows regression predictors to be placed on any parameter of a potentially complex response distribution. Since 2005, Bob, Mikis, and co-workers invested a considerable amount of work into the development of statistical software for GAMLSS as well as many extensions of the methodology. Flexible Regression and Smoothing: Using GAMLSS in R is a perfect way of getting started with GAMLSS, since it combines an easily accessible overview of the underlying methods with a thorough introduction to the implementation in R via the GAMLSS package family. Moreover, the book also covers many advanced topics such as finite mixture specifications and random effects as well as many areas of applied interest, such as model selection and model diagnostics. It is therefore an invaluable resource both for those interested in applying GAMLSS in practice and those that are interested in the underlying methods. In summary, there is no more excuse to focus on means in regression given the easy access to advanced methods such as GAMLSS through this book."—Thomas Kneib, Georg-August-Universität Göttingen"This well-written book is an introduction to Generalised Additive Models for Location, Scale and Shape (GAMLSS) and the use of the R package gamlss developed by the authors for fitting and using these models. The focus is mainly on the R package, making applied statisticians the primary target audience... it contains a lot of information about the package but it does not feel like just a manual... The gamlss package allows smooth functions of explanatory variables to be estimated in various ways, namely, it allows the use of penalised likelihood methods, including ridge regression and the lasso, and also implements fitting finite mixtures of distributions (including zero-inflated and zero-adjusted models as special cases), and centile or quantile estimation. In all of this, the smoothing parameters can be chosen automatically. It is very flexible, and potentially very useful and highly extendable. This is a good reason for looking into the book and considering using the package."-A.H. Welsh, Australian & New Zealand Journal of Statistics, August 2019

• Part I Introduction to models and packagesWhy GAMLSS?Introduction to the gamlss packagesPart II The R implementation: algorithms and functionsThe AlgorithmsThe gamlss() functionMethods for fitted gamlss objectsPart III DistributionsThe gamlss.family of distributionsFinite mixture distributionsPart IV Additive termsLinear parametric additive termsAdditive Smoothing TermsRandom effectsPart V Model selection and diagnosticsModel selection techniquesDiagnosticsPart VI ApplicationsCentile EstimationFurther Applications