Comparison study of P-spline and univariate additive model (CUBIC smoothing spline) in time-series prediction

Nizamitdinov A., MEMMEDLİ M., ÖZDEMİR Ö.

24th Mini EURO Conference on Continuous Optimization and Information-Based Technologies in the Financial Sector, MEC EurOPT 2010, İzmir, Turkey, 23 - 26 June 2010, pp.34-39 identifier

  • Publication Type: Conference Paper / Full Text
  • City: İzmir
  • Country: Turkey
  • Page Numbers: pp.34-39
  • Keywords: Additive models, Cubic smoothing spline, Nonparametric regression, P-spline, Time-series
  • Anadolu University Affiliated: Yes

Abstract

Smoothing splines used in many nonparametric problems to make a good approximation for smoothed functions in recent years. It is discussed two nonparametric techniques called P-spline and univariate additive model (cubic smoothing spline). In this study we made a comparison between P-splines and univariate additive model (cubic smoothing spline) for forecasting performance. To demonstrate comparison between these techniques we used a data set of exchange rate of Turkish Liras (TL)/Euro during 2005-2009 years and Gold Price during 2000-2009 years. Empirical results show that the P-spline model outperforms univariate additive model (cubic smoothing spline). © Izmir University of Economics, Turkey, 2010.