If one repeats the experiments in Craven and Wahba, the paper that "invented" GCV you find, or at least I found, when I tried to do this some years ago, that GCV fails in about 10% of cases rather catastrophically, and this is a fairly innocuous setting. So one way to interpret Brian's comment would be that maybe it is GCV that is failing, and another choice of lambda might do better.
Obviously, Brian can interpret for himself. I would only add that in cases where you really want something with sharp breaks in derivatives then then the usual L_2 roughness penalties are not very appropriate however you choose to do the smoothing. url: www.econ.uiuc.edu/~roger/my.html Roger Koenker email [EMAIL PROTECTED] Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
