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.