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st: Spline implementing generalized cross-validation


From   Garry Anderson <g.anderson@unimelb.edu.au>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Spline implementing generalized cross-validation
Date   Tue, 1 Nov 2011 07:25:57 +0000

Dear Statalist,

I am wanting to use Stata to generate a spline that uses generalized cross-validation (gcv). Ideally the Stata command would duplicate the results from SAS Proc TPSPLINE or R smooth.spline. The Stata command -pspline- does not implement gcv.

The spline would form a function that sums the squares of residuals plus some penalty function. The penality function is a product of a smoothing parameter times a measure of roughness, such as the integral of the square of the second derivative of the function. The gcv is used to determine the smoothing parameter.

Any pointers to such a Stata command would be appreciated.

Kind regards, Garry


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