Add Bayesian Adaptive Regression Splines

[hippke]

BARS (DiMatteo, Genovese, and Kass 2001) uses the powerful reversible-jump MCMC engine to perform spline-based generalized nonparametric regression. It has been shown to work well in terms of having small mean-squared error in many examples (smaller than known competitors), as well as producing visually-appealing fits that are smooth (filtering out high-frequency noise) while adapting to sudden changes (retaining high-frequency signal). However, BARS is computationally intensive.

https://gist.github.com/hippke/817fa533e21f0899026452d722aac44a

[hippke]

MARS: https://numbersandcode.com/non-greedy-mars-regression