how do I select the smoothing parameter for smooth.spline()?

Question

I know that the smoothing parameter(lambda) is quite important for fitting a smoothing spline, but I did not see any post here regarding how to select a reasonable lambda (spar=

Answer 1

From the help of smooth.spline you have the following:

The computational λ used (as a function of \code{spar}) is λ = r * 256^(3*spar - 1)

spar can be greater than 1 (but I guess no too much). I think you can vary this parameters and choose it graphically by plotting the fitted values for different spars. For example:

spars <- seq(0.2,2,length.out=10)          ## I will choose between 10 values 
dat <- data.frame(
  spar= as.factor(rep(spars,each=18)),    ## spar to group data(to get different colors)
  x = seq(1:18),                          ## recycling here to repeat x and y 
  y = c(1:3,5,4,7:3,2*(2:5),rep(10,4)))
xyplot(y~x|spar,data =dat, type=c('p'), pch=19,groups=spar,
       panel =function(x,y,groups,...)
       {
          s2  <- smooth.spline(y,spar=spars[panel.number()])
          panel.lines(s2)
          panel.xyplot(x,y,groups,...)
       })

Here for example , I get best results for spars = 0.4