A note on penalized spline smoothing with correlated errors

Krivobokova T, Kauermann G (2007)
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 102(480): 1328-1337.

Journal Article | Published | English

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We investigate the behavior of data-driven smoothing parameters for penalized spline regression in the presence of correlated data. It has been shown for other smoothing methods that mean squared error minimizers, such as (generalized) cross-validation or the Akaike information criterion, are extremely sensitive to misspecifications of the correlation structure resulting in over- or (under-)fitting the data. In contrast to this, we show that a maximum likelihood-based choice of the smoothing parameter is more robust and that for a moderately misspecified correlation structure over- or (under-)fitting does not occur. This is demonstrated in simulations and data examples and is supported by theoretical investigations.
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Krivobokova T, Kauermann G. A note on penalized spline smoothing with correlated errors. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION. 2007;102(480):1328-1337.
Krivobokova, T., & Kauermann, G. (2007). A note on penalized spline smoothing with correlated errors. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 102(480), 1328-1337.
Krivobokova, T., and Kauermann, G. (2007). A note on penalized spline smoothing with correlated errors. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 102, 1328-1337.
Krivobokova, T., & Kauermann, G., 2007. A note on penalized spline smoothing with correlated errors. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 102(480), p 1328-1337.
T. Krivobokova and G. Kauermann, “A note on penalized spline smoothing with correlated errors”, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, vol. 102, 2007, pp. 1328-1337.
Krivobokova, T., Kauermann, G.: A note on penalized spline smoothing with correlated errors. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION. 102, 1328-1337 (2007).
Krivobokova, Tatyana, and Kauermann, Göran. “A note on penalized spline smoothing with correlated errors”. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 102.480 (2007): 1328-1337.
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