Nonparametric smoothing using state space techniques

DOI10.2307/3316049zbMath1013.62042OpenAlexW2083571764MaRDI QIDQ2738918

Piet de Jong, Patrick E. Brown

Publication date: 3 July 2003

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2cc0e8716e1caafb6ed8644daa5fbdf7ab9ed693

zbMATH Keywords

penalized least squaresspline smoothingKalman filter smootherlocally best invariant testsReinsch algorithmdiffuse random vectorsfavoured modelsmoothation

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)

Related Items (3)

Smoothing a Time Series by Segments of the Data Range ⋮ Signal extraction and filtering by linear semiparametric methods ⋮ Frequentist conditional variance for nonlinear mixed-effects models

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