Smoothing splines for autoregressive data
On Jun 12 2008, FrankBerninger wrote:
I am searching for R packages that can do spline regression with autoregressive moving average errors. Are there any relevant R packages? Frank
Frank, Take a look at lmeSplines or gamm() in package mgcv. These both represent the smoothing spline as a mixed model and hence use lme() in package nlme. nlme contains functions that allow an ARMA correlation structure (corARMA() ). I have not used lmeSplines personally so can't comment on it, but have experience of using gamm() in mgcv and found it very useful indeed. HTH G