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P-splines regression smoothing and difference type of penalty
Authors:I Gijbels  A Verhasselt
Institution:1.Department of Mathematics and Leuven Statistics Research Center (LStat),Katholieke Universiteit Leuven,Leuven (Heverlee),Belgium
Abstract:P-splines regression provides a flexible smoothing tool. In this paper we consider difference type penalties in a context of nonparametric generalized linear models, and investigate the impact of the order of the differencing operator. Minimizing Akaike’s information criterion we search for a possible best data-driven value of the differencing order. Theoretical derivations are established for the normal model and provide insights into a possible ‘optimal’ choice of the differencing order and its interrelation with other parameters. Applications of the selection procedure to non-normal models, such as Poisson models, are given. Simulation studies investigate the performance of the selection procedure and we illustrate its use on real data examples.
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