A new method for specifying the tuning parameter of \(\ell_1\) trend filtering
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Publication:2691769
DOI10.1515/snde-2016-0073OpenAlexW2800775239MaRDI QIDQ2691769
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
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)
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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