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Re: Smoothing Splines


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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