Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter (Q5695133)
From MaRDI portal
scientific article; zbMATH DE number 2213569
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter |
scientific article; zbMATH DE number 2213569 |
Statements
Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter (English)
0 references
11 October 2005
0 references
Adaptive estimation
0 references
Hodrick-Prescott filter
0 references
Kalman-Bucy
0 references
Kalman filtering
0 references
orthogonal parametrization
0 references
random walk
0 references
seasonal adjustment
0 references
spline
0 references
state-space models
0 references
time-series
0 references
time-varying coefficients
0 references
trend
0 references
Whittaker- Henderson graduation
0 references
variance estimation
0 references
