Multivariate Adaptive Regression Splines in Python

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Multivariate adaptive regression splines (MARS) can be used to model nonlinear relationships between a set of predictor variables and a response variable.

This method works as follows:

1. Divide a dataset into k pieces.

2. Fit a regression model to each piece.

3. Use k-fold cross-validation to choose a value for k.

This tutorial provides a step-by-step example of how to fit a MARS model to a dataset in Python.

Step 1: Import Necessary Packages

To fit a MARS model in Python, we’ll use the Earth() function from sklearn-contrib-py-earth. We’ll start by installing this package:

pip install sklearn-contrib-py-earth

Next, we’ll install a few other necessary packages:

import pandas as pd
from numpy import mean
from sklearn.model_selection import cross_val_score
from sklearn.model_selection import RepeatedKFold
from sklearn.datasets import make_regression
from pyearth import Earth

Step 2: Create a Dataset

For this example we’ll use the make_regression() function to create a fake dataset with 5,000 observations and 15 predictor variables:

#create fake regression data
X, y = make_regression(n_samples=5000, n_features=15, n_informative=10,
                       noise=0.5, random_state=5)

Step 3: Build & Optimize the MARS Model

Next, we’ll use the Earth() function to build a MARS model and the RepeatedKFold() function to perform k-fold cross-validation to evaluate the model performance.

For this example we’ll perform 10-fold cross-validation, repeated 3 times.

#define the model
model = Earth()

#specify cross-validation method to use to evaluate model
cv = RepeatedKFold(n_splits=10, n_repeats=3, random_state=1)

#evaluate model performance
scores = cross_val_score(model, X, y, scoring='neg_mean_absolute_error',
                         cv=cv, n_jobs=-1)

#print results
mean(scores)

-1.745345918289