Nonparametric spline regression with autoregressive moving average errors

DOI10.1093/BIOMET/79.2.335MaRDI QIDQ4015839zbMATH OpenOpenAlexFDO

Authors Robert Kohn, Craig F. Ansley, Chi-ming Wong

Publication date 29 November 1992

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/79.2.335

zbMATH Keywords

Kalman filtermaximum likelihoodstate space modelmarginal likelihoodsimulation studyautoregressive moving average modelautocorrelated errorsgeneralized cross-validationintegrated squared errorfinite sample propertiesspline smoothingcross- validationspline nonparametric regression

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(27)

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• Nonparametric regression with correlated errors.
• The local quadratic trend model
• scientific article; zbMATH DE number 1839870 (Why is no real title available?)
• Polynomial spline estimation for nonparametric (auto-)regressive models
• Estimating trends with percentage of smoothness chosen by the user
• ON SPLINE SMOOTHING WITH AUTOCORRELATED ERRORS
• On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
• Smoothing non-Gaussian time series with autoregressive structure.
• Unbiased Partial Spline Fitting under Autoregressive Errors
• On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
• Quantiles, expectiles and splines
• Joint non-parametric estimation of mean and auto-covariances for Gaussian processes
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Accuracy and efficiency of alternative spline smoothing algorithms
• On spline regression under Gaussian subordination with long memory
• A finite element estimate for nonparametric autoregressive functions and its convergence rate
• On estimation of nonparametric regression models with autoregressive and moving average errors
• A simulation study on estimating time series ARIMA models by splines
• Constrained spline regression in the presence of AR(p) errors
• Short‐term forecasting with a computationally efficient nonparametric transfer function model
• Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
• Dependent error regression smoothing: A new method and PC program
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Some automated methods of smoothing time-dependent data
• Penalized regression with model-based penalties
• Comparison of spline estimator at various levels of autocorrelation in smoothing spline non parametric regression for longitudinal data

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