A fast compact algorithm for cubic spline smoothing

Authors:
Howard L. Weinert
Affiliations:
Electrical and Computer Engineering Department, Johns Hopkins University, Baltimore MD 21218, United States
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

An efficient algorithm is presented for computing discrete or continuous cubic smoothing splines with uniformly spaced and uniformly weighted measurements. The algorithm computes both the spline values and the generalized cross-validation score. Execution time and memory use are reduced by carefully exploiting the problem's rich structure. The frequency domain properties of the steady-state cubic spline smoother are also examined.