Journal
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume 10, Issue 3, Pages 581-591Publisher
AMER STATISTICAL ASSOC
DOI: 10.1198/106186001317114992
Keywords
Kullback-Leibler loss; penalized likelihood; smoothing parameter
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This article presents an alternative derivation of the generalized approximate cross-validation (GACV) score of Xiang and Wahba (1996) for smoothing parameter selection in penalized likelihood regression. The new derivation suggests a simple numerical solution that is stable for all sample sizes. Also suggested is a variant of the score that can be computationally more convenient. Simple simulations are presented to illustrate the effectiveness of the scores.
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