mgcv
. It is a modification
of the function glm.fit
, designed to be called from gam
. The major
modification is that rather than solving a weighted least squares problem at each IRLS step,
a weighted, penalized least squares problem
is solved at each IRLS step with smoothing parameters associated with each penalty chosen by GCV or UBRE,
using routine mgcv
. For further information on usage see code for gam
.Wood (2000) Modelling and Smoothing Parameter Estimation with Multiple Quadratic Penalties. JRSSB 62(2):413-428
gam
mgcv