Fast estimation of multidimensional adaptive P-spline models
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A fast and stable algorithm for estimating multidimensional adaptive P-spline models is presented. We call it as Separation of Overlapping Penalties (SOP) as it is an extension of the Separation of Anisotropic Penalties (SAP) algorithm. SAP was originally derived for the estimation of the smoothing parameters of a multidimensional tensor product P-spline model with anisotropic penalties.