Estimating trends with percentage of smoothness chosen by the user
From MaRDI portal
Publication:6574224
DOI10.1111/J.1751-5823.2008.00047.XMaRDI QIDQ6574224FDOQ6574224
Publication date: 18 July 2024
Published in: International Statistical Review (Search for Journal in Brave)
Kalman filtersmoothness indextime series modelssignal extractionHodrick-Prescott filterpenalized least squaressmooth curverelative precision
Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Low frequency filtering and real business cycles
- Measuring business cycles in economic time series
- Smoothness priors analysis of time series
- Data graduation based on statistical time series methods
- Signal extraction from nonstationary time series
- Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
- Signal extraction and the formulation of unobserved components models
- Spurious Periodicity in Inappropriately Detrended Time Series
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Smoothing parameter selection for smoothing splines: a simulation study
- Nonparametric spline regression with autoregressive moving average errors
- Recursive and en-bloc approaches to signal extraction
- Decomposition of Seasonal Time Series: A Model for the Census X-11 Program
- Stochastic linear trends. Models and estimators
- The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
- Estimating Trend and Growth Rates in Seasonal Time Series
- The summation of random causes as the source of cyclic processes.
This page was built for publication: Estimating trends with percentage of smoothness chosen by the user
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574224)
