gam.fit2 {mgcv}R Documentation

P-IRLS GAM estimation with GCV & UBRE derivative calculation


Estimation of GAM smoothing parameters is most stable if optimization of the UBRE or GCV score is outer to the penalized iteratively re-weighted least squares scheme used to estimate the model given smoothing parameters.

This routine estimates a GAM given log smoothing paramaters, and evaluates the first derivative of the GCV and UBRE scores of the model with respect to the log smoothing parameters. Calculation of exact derivatives is generally faster than approximating them by finite differencing, as well as generally improving the reliability of GCV/UBRE score minimization.

Not normally called directly, but rather a service routine for gam.


gam.fit2(x, y, sp, S=list(),rS=list(),off, H=NULL, 
         weights = rep(1, nobs), start = NULL, etastart = NULL, 
         mustart = NULL, offset = rep(0, nobs), family = gaussian(), 
         control = gam.control(), intercept = TRUE,deriv=TRUE,


x The model matrix for the GAM.
y The response variable.
sp The log smoothing parameters.
S A list of penalty matrices. Typically penalty matrices contain only a smallish square sub-matrix which is non-zero: this is what is actually stored. off[i] indicates which parameter is the first one penalized by S[[i]].
rS List of square roots of penalty matrices, each having as few columns as possible, but as many rows as there are parameters.
off off[i] indicates which parameter S[[i]][1,1] relates to.
H The fixed penalty matrix for the model.
weights prior weights for fitting.
start optional starting parameter guesses.
etastart optional starting values for the linear predictor.
mustart optional starting values for the mean.
offset the model offset
family the family - actually this routine would never be called with gaussian()
control control list as returned from glm.control
intercept does the model have and intercept, TRUE or FALSE
deriv Should derivatives of the GCV and UBRE scores be calculated? TRUE or FALSE
gamma The weight given to each degree of freedom in the GCV and UBRE scores can be varied (usually increased) using this parameter.
scale The scale parameter - needed for the UBRE score.
pearson The GCV/UBRE score can be based either on the Pearson statistic or the deviance. The latter is generally to be preferred, as it is less prone to severe undersmoothing.
printWarn Set to FALSE to suppress some warnings. Useful in order to ensure that some warnings are only printed if they apply to the final fitted model, rather than an intermediate used in optimization.


This routine is basically with some modifications to allow (i) for quadratic penalties on the log likelihood; (ii) derivatives of the model coefficients with respect to log smoothing parameters to be obtained (by updating alongside the P-IRLS iteration) and (iii) derivatives of the GAM GCV and UBRE scores to be evaluated at convergence.

In addition the routine applies step halving to any step that increases the penalized deviance substantially.

The most costly parts of the calculation are performed by calls to compiled C code (which in turn calls LAPACK routines) in place of the compiled code that would usually perform least squares estimation on the working model in the IRLS iteration.

Estimation of smoothing parameters by optimizing GCV scores obtained at convergence of the P-IRLS iteration was proposed by O'Sullivan et al. (1986), and is here termed `outer' iteration.

Note that use of non-standard families with this routine requires modification of the families as described in


Simon N. Wood

The routine has been modified from in R 2.0.1, written by the R core (see for further credits).


O 'Sullivan, Yandall & Raynor (1986) Automatic smoothing of regression functions in generalized linear models. J. Amer. Statist. Assoc. 81:96-103.

See Also, gam, mgcv, magic

[Package mgcv version 1.3-12 Index]