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| spline1dfitpenalized? pick rho and M http://forum.alglib.net/viewtopic.php?f=2&t=3364 |
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| Author: | Lexx [ Tue Nov 24, 2015 1:00 pm ] |
| Post subject: | spline1dfitpenalized? pick rho and M |
Hello! Please tell me, is there some method of calculating the parameters of rho and M. Or intuitively pick ?? And can yo te |
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| Author: | Sergey.Bochkanov [ Wed Nov 25, 2015 11:26 am ] |
| Post subject: | Re: spline1dfitpenalized? pick rho and M |
You should choose M to be approximately equal to number of "bending points" you need in your model. Start from something like 10 and see how it works. As for the Rho, you should start with some low value and increase it in case model starts to behave wildly. |
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