Asymptotics for penalized splines in generalized additive models

2012/08/20 by Takuma Yoshida, Yoshida, Takuma, Kanta Naito +1
Mathematics · Economics, Econometrics and Finance · #Statistical Methods and Inference #Monetary Policy and Economic Impact #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.1208.3920

Abstract

This paper discusses asymptotic theory for penalized spline estimators in generalized additive models. The purpose of this paper is to establish the asymptotic bias and variance as well as the asymptotic normality of the penalized spline estimators proposed by Marx and Eilers (1998). Furthermore, the asymptotics for the penalized quasi likelihood fit in mixed models are also discussed.

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