On the spectral properties of matrices associated with trend filters

DOI10.1017/S0266466609990715zbMATH Open1294.62222OpenAlexW1999301376MaRDI QIDQ3580640FDOQ3580640

Authors: Alessandra Luati, Tommaso Proietti 

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: This paper is concerned with the spectral properties of matrices associated with linear filters for the estimation of the underlying trend of a time series. The interest lies in the fact that the eigenvectors can be interpreted as the latent components of any time series that the filter smooths through the corresponding eigenvalues. A difficulty arises because matrices associated with trend filters are finite approximations of Toeplitz operators and therefore very little is known about their eigenstructure, which also depends on the boundary conditions or, equivalently, on the filters for trend estimation at the end of the sample. Assuming reflecting boundary conditions, we derive a time series decomposition in terms of periodic latent components and corresponding smoothing eigenvalues. This decomposition depends on the local polynomial regression estimator chosen for the interior. Otherwise, the eigenvalue distribution is derived with an approximation measured by the size of the perturbation that different boundary conditions apport to the eigenvalues of matrices belonging to algebras with known spectral properties, such as the Circulant or the Cosine. The analytical form of the eigenvectors is then derived with an approximation that involves the extremes only. A further topic investigated in the paper concerns a strategy for a filter design in the time domain. Based on cut-off eigenvalues, new estimators are derived, that are less variable and almost equally biased as the original estimator, based on all the eigenvalues. Empirical examples illustrate the effectiveness of the method.

Full work available at URL: https://arxiv.org/abs/0804.1040

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Eigenvalues, singular values, and eigenvectors (15A18) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (10)

• A note on the statistical properties of nonparametric trend estimators by means of smoothing matrices
• A linear transformation and its properties with special applications in time series filtering
• Characterizations and accurate computations for tridiagonal Toeplitz matrices
• On the banded Toeplitz structured distance to symmetric positive semidefiniteness
• Reciprocal matrices: properties and approximation by a transitive matrix
• Spectral properties and geometric interpretation of R-filters
• A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters
• Structure-preserving \(\Gamma\) QR and \(\Gamma\)-Lanczos algorithms for Bethe-Salpeter eigenvalue problems
• Spectral filtering for trend estimation
• Tridiagonal Toeplitz matrices: properties and novel applications

Uses Software

• SemiPar

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