Effect of autocorrelation when estimating the trend of a time series via penalized least squares with controlled smoothness

DOI10.1007/S10260-017-0389-8zbMath1387.62102OpenAlexW2739230780MaRDI QIDQ1742847

Hortensia J. Reyes Cervantes, Daniela Cortés Toto, Victor M. Guerrero

Publication date: 12 April 2018

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-017-0389-8

zbMATH Keywords

Hodrick-Prescott filtertrend estimationpenalized least squaressmoothing parameterautoregressive process of order oneindex of smoothness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Time series smoothing by penalized least squares
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• Estimating the dimension of a model
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• Trend smoothness achieved by penalized least squares with the smoothing parameter chosen by optimality criteria
• A Note on Penalized Spline Smoothing With Correlated Errors
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
• On the Use of Incomplete Prior Information in Regression Analysis

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