Fast spline smoothing via spectral factorization concepts

When tuning the smoothness parameter of nonparametric regression splines, the evaluation of the so-called degrees of freedom is one of the most computer-intensive tasks. In the paper, a closed-form expression of the degrees of freedom is obtained for the case of cubic splines and equally spaced data when the number of data tends to infinity. State-space methods, Kalman filtering and spectral factorization techniques are used to prove that the asymptotic degrees of freedom are equal to the variance of a suitably defined stationary process. The closed-form expression opens the way to fast spline smoothing algorithms whose computational complexity is about one-half of standard methods (or even one-fourth under further approximations).