Sparse HP filter: finding kinks in the COVID-19 contact rate

DOI10.1016/J.JECONOM.2020.08.008zbMATH Open1464.62452arXiv2006.10555OpenAlexW4206406979WikidataQ100434064 ScholiaQ100434064MaRDI QIDQ2224907FDOQ2224907

Myung Hwan Seo, Yuan Liao, Youngki Shin, Sokbae Lee

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our measurement of the contact rate is constructed using data on actively infected, recovered and deceased cases. We propose a new trend filtering method that is a variant of the Hodrick-Prescott (HP) filter, constrained by the number of possible kinks. We term it the $extitsparseHPfilter$ and apply it to daily data from five countries: Canada, China, South Korea, the UK and the US. Our new method yields the kinks that are well aligned with actual events in each country. We find that the sparse HP filter provides a fewer kinks than the $el{l}_1$ trend filter, while both methods fitting data equally well. Theoretically, we establish risk consistency of both the sparse HP and $el{l}_1$ trend filters. Ultimately, we propose to use time-varying $extitcontactgrowthrates$ to document and monitor outbreaks of COVID-19.

Full work available at URL: https://arxiv.org/abs/2006.10555

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zbMATH Keywords

COVID-19trend filteringHodrick-Prescott filterknotspiecewise linear fitting

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Mathematical modeling or simulation for problems pertaining to biology (92-10)

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Cited In (3)

• Grouped variable selection with discrete optimization: computational and statistical perspectives
• A Dynamic Interaction Semiparametric Function-on-Scalar Model
• The spread of COVID-19 in London: network effects and optimal lockdowns

Uses Software

• CVXR
• coronavirus

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