Abstract
This article proposes a numerically simple method for locally adaptive smoothing. The heterogeneous regression function is modeled as a penalized spline with a varying smoothing parameter modeled as another penalized spline. This is formulated as a hierarchical mixed model, with spline coefficients following zero mean normal distribution with a smooth variance structure. The major contribution of this article is to use the Laplace approximation of the marginal likelihood for estimation. This method is numerically simple and fast. The idea is extended to spatial and non-normal response smoothing.
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