The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing

Wiener process polynomial splines nonlinear regression nonparametric regression confidence bounds recursive algorithms exact maximum likelihood estimator state space formulation Kalman filter approach Markov structures signal extraction approach

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Spline approximation (41A15) Nonparametric inference (62G99)

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