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

DOI10.1515/ROSE-2016-0003MaRDI QIDQ254482zbMATH OpenOpenAlexWikidataFDO

Authors Boualem Djehiche, Astrid Hilbert, Hiba Nassar

Publication date 8 March 2016

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

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

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)

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.

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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

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