The computation of generalized cross-validation functions through householder tridiagonalization with applications to the fitting of interaction spline models

An efficient algorithm for computing the generalized cross-validation function for the general cross-validated regularization/smoothing problem is provided. This algorithm is appropriate for problems where no natural structure is available, and the regularization/smoothing problem is solved (exactly) in a reproducing kernel Hilbert space. It is particularly appropriate for certain multivariate smoothing problems with irregularly spaced data, and certain remote sensing problems, such as those that occur in meteorology, where the sensors are arranged irregularly. The algorithm is applied to the fitting of interaction spline models with irregularly spaced data and two smoothing parameters; favorable timing results are presented. The algorithm may be extended to the computation of certain generalized maximum likelihood (GML) functions. Application of the GML algorithm to a problem in numerical weather forecasting, and to a broad class of hypothesis testing problems, is noted.