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The generalized cross validation filter [PDF]

open access: yesAutomatica, 2018
Generalized cross validation (GCV) is one of the most important approaches used to estimate parameters in the context of inverse problems and regularization techniques. A notable example is the determination of the smoothness parameter in splines. When the data are generated by a state space model, like in the spline case, efficient algorithms are ...
Gianluigi Pillonetto, Giulio Bottegal
exaly   +7 more sources

Global optimization of the generalized cross-validation criterion

Statistics and Computing, 2000
Generalized cross-validation is a method for choosing the smoothing parameter in smoothing splines and related regularization problems. This method requires the global minimization of the generalized cross-validation function. In this paper an algorithm based on interval analysis is presented to find the globally optimal value for the smoothing ...
Mohsen Mohammadzadeh
exaly   +2 more sources

A note on generalized cross-validation with replicates

Statistics and Probability Letters, 1992
Abstract Generalized cross-validation (GCV) is a popular method for choosing the smoothing parameter in generalized spline smoothing when there are independent errors with common unknown variance. When data points are replicated, one can choose the smoothing parameter by minimizing one of three functions: the GCV score computed from the averaged ...
Chong Gu, Nancy E. Heckman, Grace Wahba
exaly   +3 more sources

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