Efficient computation for Whittaker-Henderson smoothing

Authors:
Howard L. Weinert
Affiliations:
Johns Hopkins University, 3400 N. Charles St., 105 Barton Hall, Baltimore, MD 21218, USA
Venue:
Computational Statistics & Data Analysis
Year:
2007

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Abstract

Efficient algorithms that compute both the estimates and the generalized cross-validation score for the problem of Whittaker-Henderson smoothing are presented. Algorithm efficiency results from carefully exploiting the problem's rich structure to reduce execution time and memory use. The algorithms are much faster than existing ones, and use significantly less memory. MATLAB M-files are included.