Spectral properties and geometric interpretation of R-filters

DOI10.1007/S10483-009-0112-2zbMath1161.91470OpenAlexW1971422256MaRDI QIDQ1016171

Tuo Leng

Publication date: 4 May 2009

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-009-0112-2

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Harmonic analysis in one variable (42A99)

Cites Work

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• Low frequency filtering and real business cycles
• Distortionary effects of the optimal Hodrick--Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP

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