A note on P-spline additive models with correlated errors

Maria Durbán, Iain D. Currie

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)251-262
Number of pages12
JournalComputational Statistics
Volume18
Issue number2
Publication statusPublished - 2003

Keywords

  • Additive model
  • Back-fitting
  • Mixed models
  • P-spline
  • REML
  • Serial correlation

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