Forecasting in nonlinear univariate time series using penalized splines

DOI10.1007/s00362-015-0711-1zbMath1383.62208OpenAlexW1675341534MaRDI QIDQ1685198

Michael Wegener, Göran Kauermann

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-015-0711-1

zbMATH Keywords

model selectiontime seriespenalized splinesEONIA-rate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Bayesian spectral density estimation using P-splines with quantile-based knot placement

Uses Software

• S-PLUS
• SemiPar
• Fahrmeir
• gamair
• MEMSS
• tsDyn
• MSwM

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