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.
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- scientific article; zbMATH DE number 2222919
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- Modelled approximations to the ideal filter with application to GDP and its components
- Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
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- A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
- Distortionary effects of the optimal Hodrick--Prescott filter
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