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MathGroup Archive 2005

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Re: Smoothing Splines

  • To: mathgroup at smc.vnet.net
  • Subject: [mg58331] Re: Smoothing Splines
  • From: Jean-Marc Gulliet <jeanmarc.gulliet at gmail.com>
  • Date: Tue, 28 Jun 2005 21:56:32 -0400 (EDT)
  • Organization: The Open University, Milton Keynes, England
  • References: <d9r4mq$547$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Virgil Stokes wrote:
> Does anyone have a Mathematica notebook for calculating "smoothing splines"?
> 
> --V. Stokes
> 
Hi Virgil,

Check Johannes Ludsteck's package, it may fulfill your needs:

http://library.wolfram.com/infocenter/MathSource/5161/

"This Mathematica 5.0 Package performs nonparametric spline smoothing 
for time series (called the Hodrick-Prescott-Filter in the econometrics 
literature). In addition to other implementations, the optimum smoothing 
parameter of the model is computed for a stochastic formulation of the 
data generating process."

Hope this helps,
/J.M.


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