penalty: B-Spline penalty

In profoc: Probabilistic Forecast Combination Using CRPS Learning

B-Spline penalty

Description

This function calculates the B-Spline basis penalty. It follows the procedure outlined in the paper by Zheyuan Li, Jiguo Cao, 2022 "General P-Splines for Non-Uniform B-Splines" doi: 10.48550/arXiv.2201.06808. For equidistant knots it coincides with the usual penalty based on the identitiy. For non-equidistant knots it is a weighted penalty with respect to the knot distances.

Usage

penalty(knots, order, max_diff = 999L)

Arguments

knots	Vector of knots.
order	Order of the Basis (degree + 1).
max_diff	Maximum difference order to calculate.

Value

Returns a list of (order - 1) penalty matrices.

Examples

## Not run: 
# Equidisan knots with order 2
knots <- 1:10

P <- penalty(knots, order = 2)

print(P[[1]]) # First differences

# Non-equidistant knots
knots <- c(0, 0, 0, 0, 1, 3, 4, 4, 4, 4)

P <- penalty(knots, order = 4)

print(P[[1]]) # First differences
print(P[[2]]) # Second differences
print(P[[3]]) # Third differences

## End(Not run)

profoc documentation built on March 7, 2023, 8:11 p.m.