Penalized Splines , Mixed Models and the Wiener-Kolmogorov Filter

Abstract

Penalized splines are widespread tools for the estimation of trend and cycle, since they allow a data driven estimation of the penalization parameter by the incorporation into a linear mixed model. Based on the equivalence of penalized splines and the Hodrick-Prescott filter, this paper connects the mixed model framework of penalized splines to the… (More)

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