On the spectral properties of matrices associated with trend filters

DOI10.1017/S0266466609990715MaRDI QIDQ3580640zbMATH OpenOpenAlexFDO

Authors Alessandra Luati, Tommaso Proietti

Publication date 13 August 2010

Published in Econometric Theory (Search for Journal in Brave)

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

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)

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.

Recommendations

Cites work

Cited in

(10)

Describes a project that uses

Uses Software

SemiPar

This page was built for publication: On the spectral properties of matrices associated with trend filters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3580640)