Miscellanea. On the optimal amount of smoothing in penalised spline regression

Abstract

The optimal amount of smoothing in penalised spline regression is investigated. In particular, a simple closed form approximation to the optimal smoothing parameter is derived. Comparisons with its exact counterpart show it to be a useful starting point for measuring the optimal amount of smoothing in penalised spline regression. It also lends itself to the development of quick and simple rules for automatic smoothing parameter selection.