Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria
From MaRDI portal
Publication:2974951
DOI10.1080/03610918.2015.1005236zbMath1462.62529OpenAlexW2321066907MaRDI QIDQ2974951
Hortensia J. Reyes, Daniela Cortés Toto, Victor M. Guerrero
Publication date: 11 April 2017
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1005236
Hodrick-Prescott filtertrend estimationpenalized least squaressmoothing parametertime series decompositionpercentage of smoothness
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Time series smoothing by penalized least squares
- Smoothing parameter selection for smoothing splines: a simulation study
- A comparison of GCV and GML for choosing the smoothing parameter in the generalized spline smoothing problem
- Low frequency filtering and real business cycles
- Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
- Estimating the dimension of a model
- Measuring business cycles in economic time series
- Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
- Model selection criteria based on cross-validatory concordance statistics
- Smoothness priors analysis of time series
- Fast Compact Algorithms and Software for Spline Smoothing
- Trend estimation of financial time series
- Maximum likelihood identification of Gaussian autoregressive moving average models
- Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
This page was built for publication: Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria