|The GAM Procedure|
A smoother is a tool for summarizing the trend of a response measurement as a function of one or more predictor measurements . It produces an estimate of the trend that is less variable than itself. An important property of a smoother is its nonparametric nature. It does not assume a rigid form for the dependence of on . This section gives a brief overview of the smoothers that can be used with the GAM procedure.
A smoothing spline is the solution to the following optimization problem: among all functions with two continuous derivatives, find one that minimizes the penalized least square
where is a fixed constant and . The first term measures closeness to the data while the second term penalizes curvature in the function. It can be shown that there exists an explicit, unique minimizer, and that minimizer is a natural cubic spline with knots at the unique values of .
The value is the smoothing parameter. When is large, the smoothing parameter is close to 1, producing a smoother curve; small values of , corresponding to smoothing parameters near 0, are apt to produce rougher curves, more nearly interpolating the data.
Local regression was proposed by Cleveland, Devlin, and Grosse (1988). The idea of local regression is that at a predictor , the regression function can be locally approximated by the value of a function in some specified parametric class. Such a local approximation is obtained by fitting a regression surface to the data points within a chosen neighborhood of the point . A weighted least squares algorithm is used to fit linear functions of the predictors at the centers of neighborhoods. The radius of each neighborhood is chosen so that the neighborhood contains a specified percentage of the data points. The smoothing parameter for the local regression procedure, which controls the smoothness of the estimated curve, is the fraction of the data in each local neighborhood. Data points in a given local neighborhood are weighted by a smooth decreasing function of their distance from the center of the neighborhood. See Chapter 50, The LOESS Procedure, for more details.
The thin-plate smoothing spline is a multivariate version of the cubic smoothing spline. The theoretical foundations for the thin-plate smoothing spline are described in Duchon (1976, 1977) and Meinguet (1979). Further results and applications are given in Wahba and Wendelberger (1980). See Chapter 89, The TPSPLINE Procedure, for more details.