A simple smoothing spline, III (Q1775953)

This paper is the third in a series devoted to the study of linear smoothing splines; for the review of Part II see [Zbl 1057.62515]. The present article focuses on computational aspects with the specific goal of developing an in-depth understanding of the methods for computing the linear smoothing spline. Comparisons are made between two efficient methods for computing the estimator using band-limited basis and the Kalman filter (KF). Particularly, KF is shown to be an efficient method for computing under the Kimeldorf-Wahba representation for the estimator. The run time comparisons are made between band-limited B-spline and Kalman filter based algorithms.