Introduction to Smoothing Splines.ppt

Introduction to Smoothing Splines Tongtong Wu Feb 29, 2004 Outline Introduction Linear and polynomial regression, and interpolation Roughness penalties Interpolating and Smoothing splines Cubic splines Interpolating splines Smoothing splines Natural cubic splines Choosing the smoothing parameter Available software Key Words roughness penalty penalized sum of squares natural cubic splines Motivation Motivation Motivation Motivation Introduction Linear and polynomial regression : Global influence Increasing of polynomial degrees happens in discrete steps and can not be controlled continuously Interpolation Unsatisfactory as explanations of the given data Roughness penalty approach A method for relaxing the model assumptions in classical linear regression along lines a little different from polynomial regression. Roughness penalty approach Aims of curving fitting A good fit to the data To obtain a curve estimate that does not display too much rapid fluctuation Basic idea: making a necessary compromise between the two rather different aims in curve estimation Roughness penalty approach Quantifying the roughness of a curve An intuitive way: (g: a twice-differentiable curve) Motivation from a formalization of a mechanical device: if a thin piece of flexible wood, called a spline, is bent to the shape of the graph g, then the leading term in the strain energy is proportional to Roughness penalty approach Penalized sum of squares g: any twice-differentiable function on [a,b] : smoothing parameter (‘rate of exchange’ between residual error and local variation) Penalized least squares estimator Roughness penalty approach Curve for a large value of Roughness penalty approach Curve for a small value of Interpolating and Smoothing Splines Cubic splines Interpolating splines Smoothing splines Choosing the smoothing parameter Cubic Splines Given at1t2…tnb, a function g is a cubic spline if On each interval (a,t1), (t1,t2), …, (tn,b), g is a cubic polynomial Th