On the functional Hodrick-Prescott filter with non-compact operators

DOI10.1515/ROSE-2016-0003zbMATH Open1332.62114arXiv1312.4943OpenAlexW1514861609WikidataQ84932800 ScholiaQ84932800MaRDI QIDQ254482FDOQ254482

Authors: Boualem Djehiche, Astrid Hilbert, Hiba Nassar 

Publication date: 8 March 2016

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Abstract: We study a version of the functional Hodrick-Prescott filter where the associated operator is not necessarily compact, but merely closed and densely defined with closed range. We show that the associated optimal smoothing operator preserves the structure obtained in the compact case, when the underlying distribution of the data is Gaussian.

Full work available at URL: https://arxiv.org/abs/1312.4943

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zbMATH Keywords

smoothinginverse problemsadaptive estimationGaussian measures on a Hilbert spaceHodrick-Prescott filtertrend extraction

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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Cited In (3)

• A functional Hodrick-Prescott filter
• A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
• On a graduation problem involving both the Hodrick-Prescott filter and optimal spline smoothing

Uses Software

• fda (R)

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