Smoothing Parameter Selection Using Multifold Cross-Validation in Smoothing Spline Regressions

The smoothing parameter $\lambda$ in smoothing spline regression is usually selected by minimizing cross-validation (CV) or generalized cross-validation (GCV). But, simple CV or GCV is poor candidate for estimating prediction error. We defined MGCV (Multifold Generalized Cross-validation) as a criterion for selecting smoothing parameter in smoothing spline regression. This is a version of cross-validation using method. Some numerical results comparing MGCV and GCV are done.