A note on P-spline additive models with correlated errors

Maria Durbán and Iain D. Currie
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Maria Durbán: Universidad Carlos III de Madrid
Iain D. Currie: Heriot-Watt University

Computational Statistics, 2003, vol. 18, issue 2, No 5, 262 pages

Abstract: Summary We consider additive models with k smooth terms and correlated errors, and use the penalised spline approach of Eilers & Marx (1996) to estimate the smooth functions. We obtain explicit expressions for the hat-matrix of the model and each individual curve. P-splines are represented as mixed models and REML is used to select the smoothing and correlation parameters. The method is applied to the analysis of some time series data.

Keywords: Additive model; P-spline; REML; back-fitting; serial correlation; mixed models (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s001800300143

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