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Nonparametric spline regression with autoregressive moving average errors |
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| Authors: | KOHN ROBERT; ANSLEY CRAIG F; WONG CHI-MING |
| Institution: | 1Australian Graduate School of Management, University of New South Wales Kensington, New South Wales, Australia 2033 2Department of Accounting and Finance, University of Auckland Auckland, New Zealand 3Australian Graduate School of Management, University of New South Wales Kensington, New South Wales, Australia 2033 |
| Abstract: | |
| Keywords: | Autoregressive moving average errors Cross-validation Generalized cross-validation Integrated squared error Kalman filter Marginal likelihood Spline smoothing State space model |
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