- Smoothing spline
The

**smoothing spline**is a method ofsmoothing , or fitting a smooth curve to a set of noisy observations.**Definition**Let $(x\_i,Y\_i);\; i=1,dots,n$ be a sequence of observations, modeled by the relation $E(Y\_i)\; =\; mu(x\_i)$. The smoothing spline estimate $hatmu$ of the function $mu$ is defined to be the minimizer (over the class of twice differentiable functions) of [

*cite book|title=Generalized Additive Models|last=Hastie|first=T. J.|coauthors=Tibshirani, R. J.|year=1990|publisher=Chapman and Hall|isbn=0-412-34390-8*] :$sum\_\{i=1\}^n\; (Y\_i\; -\; hatmu(x\_i))^2\; +\; lambda\; int\; hatmu"(x)^2\; ,dx.$Remarks:

# $lambda\; ge\; 0$ is a smoothing parameter, controlling the trade-off between fidelity to the data and roughness of the function estimate.

# The integral is evaluated over the range of the $x\_i$.

# As $lambda\; o\; 0$ (no smoothing), the smoothing spline converges to the interpolating spline.

# As $lambda\; oinfty$ (infinite smoothing), the roughness penalty becomes paramount and the estimate converges to a linear least-squares estimate.

# The roughness penalty based on the second derivative is the most common in modern statistics literature, although the method can easily be adapted to penalties based on other derivatives.

# In early literature, with equally-spaced $x\_i$, second or third-order differences were used in the penalty, rather than derivatives.

# When the sum-of-squares term is replaced by a log-likelihood, the resulting estimate is termed "penalized likelihood". The smoothing spline is the special case of penalized likelihood resulting from a Gaussian likelihood.**Derivation of the smoothing spline**It is useful to think of fitting a smoothing spline in two steps:

# First, derive the values $hatmu(x\_i);i=1,ldots,n$.

# From these values, derive $hatmu(x)$ for all "x".Now, treat the second step first.

Given the vector $hat\{m\}\; =\; (hatmu(x\_1),ldots,hatmu(x\_n))^T$ of fitted values, the sum-of-squares part of the spline criterion is fixed. It remains only to minimize $int\; hatmu"(x)^2\; ,\; dx$, and the minimizer is a natural cubic spline that interpolates the points $(x\_i,hatmu(x\_i))$. This interpolating spline is a linear operator, and can be written in the form:$hatmu(x)\; =\; sum\_\{i=1\}^n\; hatmu(x\_i)\; f\_i(x)$where $f\_i(x)$ are a set of spline basis functions. As a result, the roughness penalty has the form:$int\; hatmu"(x)^2\; dx\; =\; hat\{m\}^T\; A\; hat\{m\}.$where the elements of "A" are $int\; f\_i(x)\; f\_j(x)dx$. The basis functions, and hence the matrix "A", depend on the configuration of the predictor variables $x\_i$, but not on the responses $Y\_i$ or $hat\; m$.

Now back the first step. The penalized sum-of-squares can be written as:$|Y\; -\; hat\; m|^2\; +\; lambda\; hat\{m\}^T\; A\; hat\; m,$where $Y=(Y\_1,ldots,Y\_n)^T$.Minimizing over $hat\; m$ gives:$hat\; m\; =\; (I\; +\; lambda\; A)^\{-1\}\; Y.$

**Related methods**Smoothing splines are related to, but distinct from:

* Regression splines. In this method, the data is fitted to a set of spline basis functions with a reduced set of knots, typically by least squares. No roughness penalty is used.

* Penalized Splines. This combines the reduced knots of regression splines, with the roughness penalty of smoothing splines. [*cite book|title=Semiparametric Regression|last=Ruppert|first=David|coauthors=Wand, M. P. and Carroll, R. J.|publisher=Cambridge University Press|year=2003|isbn=0-521-78050-0*]**Further reading*** Wahba, G. (1990). "Spline Models for Observational Data". SIAM, Philadelphia.

* Green, P. J. and Silverman, B. W. (1994). "Nonparametric Regression and Generalized Linear Models". CRC Press.**References**

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