[R] p-level in packages mgcv and gam

[Thomas Lumley]

On Mon, 26 Sep 2005, Denis Chabot wrote:
>
> But the mgcv manual warns that p-level for the smooth can be
> underestimated when df are estimated by the model. Most of the time
> my p-levels are so small that even doubling them would not result in
> a value close to the P=0.05 threshold, but I have one case with P=0.033.
>
> I thought, probably naively, that running a second model with fixed
> df, using the value of df found in the first model. I could not
> achieve this with mgcv: its gam function does not seem to accept
> fractional values of df (in my case 8.377).

No, this won't work.  The problem is the usual one with model selection: 
the p-value is calculated as if the df had been fixed, when really it was 
estimated.

It is likely to be quite hard to get an honest p-value out of something 
that does adaptive smoothing.

 	-thomas