Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
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Publication:5695133
DOI10.14490/jjss.35.99zbMath1070.62079MaRDI QIDQ5695133
Publication date: 11 October 2005
Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.14490/jjss.35.99
trend; spline; Kalman filtering; random walk; state-space models; Hodrick-Prescott filter; time-varying coefficients; variance estimation; seasonal adjustment; time-series; Adaptive estimation; orthogonal parametrization; Whittaker- Henderson graduation; Kalman-Bucy
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