统计学习精要 (Elements of Statistical Learning ) 习题 5.13

统计学习精要 (Elements of Statistical Learning ) 习题 5.13

You have fitted a smoothing spline $\hat{f}_\lambda$ to a sample of $N$ pairs $(x_i, y_i)$. Suppose you augment your original sample with the pair $x_0,\hat{f}_\lambda(x_0)$, and refit; describe the result. Use this to derive the N-fold cross-validation formula (5.26).

思路：

由于smoothing spline 最终还是带罚项的最小二乘线性回归，因此我在这里仅推导等价的岭回归的形式，为了写着方便。

记$\bar{X} = [X^T, x_0^T]^T$和$\bar{y}=[y^T,y_0]^T$，那么可以得到

$$\beta = (\bar{X}^T \bar{X} + \lambda I)^{-1} \bar{X}^T \bar{y} = (\bar{X}^T \bar{X} + \lambda I)^{-1} (X^T y + x_0^T y_0)$$

若按题目说的