A list with components 'penalty', 'gcv' and 'nlm.code' which give the
location of the minimum, the value of the cross-validation
criterion at that point and the code returned by the link{nlm}
function - useful to assess for convergence issues.
Details
For every linear smoother e.g. \(\hat{y} = S_\lambda y\), the cross-validation criterion consists in minimizing
the following quantity:
$$GCV(\lambda) = \frac{n ||y - \hat{y}||^2}{(n -
tr(S_\lambda))^2}$$
where \(\lambda\) is the penalty coefficient, \(n\) the
number of observations and \(tr(S_\lambda)\) is the
trace of the matrix \(S_\lambda\).
References
Ruppert, D. Wand, M.P. and Carrol, R.J. (2003) Semiparametric
Regression Cambridge Series in Statistical and Probabilistic
Mathematics.