Spline-based nonparametric inference in general state-switching models
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State‐switching models combine immense flexibility with relative mathematical simplicity and computational tractability and, as a consequence, have established themselves as general‐purpose models for time series data. In this paper, we provide an overview of ways to use penalized splines to allow for flexible nonparametric inference within state‐switching models, and provide a critical discussion of the use of corresponding classes of models. The methods are illustrated using animal acceleration data and energy price data.
Langrock , R , Adam , T , Leos-Barajas , V , Mews , S , Miller , D L & Papastamatiou , Y P 2018 , ' Spline-based nonparametric inference in general state-switching models ' , Statistica Neerlandica , vol. 72 , no. 3 , pp. 179-200 . https://doi.org/10.1111/stan.12133
© 2018, the Authors, Statistica Neerlandica. This work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1111/stan.12133
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