GCV: GCV

In flowfield: Forecasts future values of a univariate time series.

Description

Evaluates the generalized cross generalization criterion for a specific value of lambda.

Usage

GCV(lambda,y,x,d)

Arguments

lambda	lambda value to evaulate the GCV criterion at
y	Time series response values.
x	Design matrix from the penalized spline regression.
d	Diagonal matrix used to constrain the linear model. This is a type of Ridge regression.

Value

Returns the GCV value for a specific value of lambda and an input into the optimize function in order to minimize this function.

Author(s)

Kyle A. Caudle

References

D. Ruppert, M. P. Wand and R. J. Carroll, Semiparametric Regression. New York, NY: Cambidge University Press, 2003.

flowfield documentation built on May 2, 2019, 10:21 a.m.