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st: Spline implementing generalized cross-validation
From
Garry Anderson <[email protected]>
To
"[email protected]" <[email protected]>
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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