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arXiv · 1610.06861

Fast estimation of multidimensional adaptive P-spline models

María Xosé Rodríguez-Álvarez·María Durbán·Dae-Jin Lee·Paul H. C. Eilers
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Abstract

A fast and stable algorithm for estimating multidimensional adaptive P-spline models is presented. We call it as Separation of Overlapping Penalties (SOP) as it is an extension of the \textit{Separation of Anisotropic Penalties} (SAP) algorithm. SAP was originally derived for the estimation of the smoothing parameters of a multidimensional tensor product P-spline model with anisotropic penalties.

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María Xosé Rodríguez-Álvarez, María Durbán, Dae-Jin Lee, Paul H. C. Eilers. 2016-10-21. Fast estimation of multidimensional adaptive P-spline models. https://arxiv.org/abs/1610.06861

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