Low‐rank approximation for smoothing spline via eigensystem truncation

Abstract

Smoothing splines provide a powerful and flexible means for nonparametric estimation and inference. With a cubic time complexity, fitting smoothing spline models to large data is computationally prohibitive. In this paper, we use the theoretical optimal eigenspace to derive a low‐rank approximation of the smoothing spline estimates. We develop a method to approximate the eigensystem when it is unknown and derive error bounds for the approximate estimates. The proposed methods are easy to implement with existing software. Extensive simulations show that the new methods are accurate, fast and compare favourably against existing methods.