A non-iterative optimization method for smoothness in penalized spline regression

作者：Yanagihara Hirokazu^*

来源：Statistics and Computing, 2012, 22(2): 527-544.

DOI：10.1007/s11222-011-9245-0

• B-spline
• Generalized ridge regression
• Mallows%26apos
• C-p criterion
• Multiple smoothing parameters
• Penalized least square estimation

Typically, an optimal smoothing parameter in a penalized spline regression is determined by minimizing an information criterion, such as one of the C (p) , CV and GCV criteria. Since an explicit solution to the minimization problem for an information criterion cannot be obtained, it is necessary to carry out an iterative procedure to search for the optimal smoothing parameter. In order to avoid such extra calculation, a non-iterative optimization method for smoothness in penalized spline regression is proposed using the formulation of generalized ridge regression. By conducting numerical simulations, we verify that our method has better performance than other methods which optimize the number of basis functions and the single smoothing parameter by means of the CV or GCV criteria.

• 出版日期2012-3