Locally Adaptive Nonparametric Binary Regression

Abstract

We propose a nonparametric and locally adaptive Bayesian estimator for estimating a binary regression. Flexibility is obtained by modeling the binary regression as a mixture of probit regressions with the argument of each probit regression having a thin plate spline prior with its own smoothing parameter and with the mixture weights depending on the covariates. The estimator is compared to a single spline estimator and to a recently proposed locally adaptive estimator. The methodology is illustrated by applying it to both simulated and real examples.