how do I select the smoothing parameter for smooth.spline()?

Question

I know that the smoothing parameter(lambda) is quite important for fitting a smoothing spline, but I did not see any post here regarding how to select a reasonable lambda (spar=

Answer 1

If you don't have duplicated points at the same x value, then try setting GCV=TRUE - the Generalized Cross Validation (GCV) procedure is a clever way of selecting a pretty good stab at picking a good value for lambda (span). One neat detail about the GCV is that it doesn't actually have to go to the trouble of doing the calculations for every single set of one-left-out points - as highlighted in Simon Wood's book. For lots of detail on this have a look at the notes on Simon Wood's web page on MGCV.

Adrian Bowman's (sm) r-package has a function h.select() which is intended specifically for going the grunt work for choosing a value of lambda (though I'm not 100% sure that it is compatible with the smooth.spline() function in the base package.