A data-adaptive knot selection scheme for fitting splines

A critical component of spline smoothing is the choice of knots, especially for curves with varying shapes and frequencies in its domain. We consider a two-stage knot selection scheme for adaptively fitting splines to data subject to noise. A potential set of knots is chosen based on information from certain wavelet decompositions with the intention of placing more points where the curve shows rapid changes. The final knot selection is then made based on statistical model selection ideas. We show that the proposed method is well suited for a variety of smoothing and noise filtering needs.