Efficient computation for Whittaker-Henderson smoothing

DOI10.1016/j.csda.2006.11.038zbMath1452.62139OpenAlexW2032051539MaRDI QIDQ1020897

Howard L. Weinert

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.11.038

zbMATH Keywords

smoothingcross-validationHodrick-Prescott filtergraduation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Numerical smoothing, curve fitting (65D10)

Related Items (17)

Concentration inequalities for cross-validation in scattered data approximation ⋮ Numerical differentiation by a Tikhonov regularization method based on the discrete cosine transform ⋮ Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates ⋮ A note on Whittaker–Henderson graduation: Bisymmetry of the smoother matrix ⋮ A high-order level-set method with enhanced stability for curvature driven flows and surface diffusion motion ⋮ TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ A pioneering study on discrete cosine transform ⋮ An explicit formula for the smoother weights of the Hodrick-Prescott filter ⋮ Several least-squares problems related to the Hodrick–Prescott filtering ⋮ A fast compact algorithm for cubic spline smoothing ⋮ Robust smoothing of gridded data in one and higher dimensions with missing values ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Fast cross-validation in harmonic approximation ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER ⋮ An extension of the Whittaker–Henderson method of graduation ⋮ Explicit formulas for the smoother weights of the Whittaker–Henderson graduation of order 1 ⋮ A modification of the Whittaker–Henderson method of graduation

Uses Software

• Matlab

Cites Work

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