A functional Hodrick-Prescott filter

DOI10.1515/JIIP-2015-0111zbMATH Open1360.62116arXiv1312.4936OpenAlexW2132381619WikidataQ84932694 ScholiaQ84932694MaRDI QIDQ522941FDOQ522941

Authors: Boualem Djehiche, Hiba Nassar 

Publication date: 20 April 2017

Published in: Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Abstract: We propose a functional version of the Hodrick-Prescott filter for functional data which take values in an infinite dimensional separable Hilbert space. We further characterize the associated optimal smoothing parameter when the associated linear operator is compact and the underlying distribution of the data is Gaussian.

Full work available at URL: https://arxiv.org/abs/1312.4936

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• scientific article; zbMATH DE number 2222919

zbMATH Keywords

smoothinginverse problemsadaptive estimationsignal extractionGaussian measures on a Hilbert spaceHodrick-Prescott filter

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Multivariate analysis (62H99) Estimation in multivariate analysis (62H12)

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Cited In (11)

• On the functional Hodrick-Prescott filter with non-compact operators
• On fractional filtering versus conventional filtering in economics
• A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
• Distortionary effects of the optimal Hodrick--Prescott filter
• Multivariate extension of the Hodrick-Prescott filter-optimality and characterization
• Inverting the Hodrick-Prescott filter
• Title not available (Why is that?)
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Modelled approximations to the ideal filter with application to GDP and its components
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER

Uses Software

• fda (R)

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