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st: Penalised splines


From   Adrian Mander <Adrian.Mander@mrc-hnr.cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Penalised splines
Date   Mon, 21 May 2007 10:18:49 +0100

Hi All,

Has anyone implemented a penalised cubic spline?

The form I am looking for is minimising the usual least squares but with
an additional area under the second derivative as a penalty.

sum_{j=1}  ( y_j - f(x_j))^2  + lambda  integral ( f''(t))^2 dt

I couldn't find anything through findit on penalised but I guess it could
be part of another spline function.

cheers
Ade

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