Spline Smoothing in Regression Models and Asymptotic Efficiency in L₂

For nonparametric regression estimation on a bounded interval, optimal rates of decrease for integrated mean square error are known but not the best possible constants. A sharp result on such a constant, i.e., an analog of Fisher's bound for asymptotic variances is obtained for minimax risk over a Sobolev smoothness class. Normality of errors is assumed. The method is based on applying a recent result on minimax filtering in Hilbert space. A variant of spline smoothing is developed to deal with noncircular models.