A new method for specifying the tuning parameter of \(\ell_1\) trend filtering

DOI10.1515/snde-2016-0073OpenAlexW2800775239MaRDI QIDQ2691769

Hiroshi Yamada

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0073

zbMATH Keywords

constrained minimizationtuning parameter\(\ell_1\) trend filteringHodrick-Prescott filtering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

l₁common trend filtering: an extension

Uses Software

• CVX

Cites Work

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• The solution path of the generalized lasso
• Low frequency filtering and real business cycles
• The Hodrick-Prescott filter: a special case of penalized spline smoothing
• Adaptive piecewise polynomial estimation via trend filtering
• Selecting the tuning parameter of the \(\ell_1\) trend filter
• Ridge Regression Representations of the Generalized Hodrick-Prescott Filter
• $\ell_1$ Trend Filtering