Forecasting in nonlinear univariate time series using penalized splines


Asset Pricing, Empirical Capital Market Research

Statistical Papers, 1-20


  • EONIA-rate
  • Model selection
  • Penalized splines
  • Time series


Dr. Michael Wegener G. Kauermann


In this article we discuss penalized splines for fitting and forecasting univariate nonlinear time series models. While penalized splines have been excessively used in smooth regression, their use in nonlinear time series models is less far developed. This paper focuses on univariate autoregressive processes and discuss different nonlinear (functional) time series models including parsimonious estimation and model selection ideas. Furthermore, in simulations and an application we show how this approach compares to common parametric nonlinear models.

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