On the functional Hodrick-Prescott filter with non-compact operators

DOI10.1515/rose-2016-0003zbMath1332.62114arXiv1312.4943OpenAlexW1514861609WikidataQ84932800 ScholiaQ84932800MaRDI QIDQ254482

Astrid Hilbert, Hiba Nassar, Boualem Djehiche

Publication date: 8 March 2016

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4943

zbMATH Keywords

smoothinginverse problemsadaptive estimationHodrick-Prescott filterGaussian measures on a Hilbert spacetrend extraction

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (2)

A consistent estimator of the smoothing operator in the functional Hodrick–Prescott filter ⋮ A functional Hodrick-Prescott filter

Uses Software

• fda (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A functional Hodrick-Prescott filter
• Projection methods for computing Moore-Penrose inverses of unbounded operators
• Some properties of unbounded operators with closed range
• Spectral methods for linear inverse problems with unbounded operators
• On the possibility of hedging options in the presence of transaction costs
• Generalized functional linear models
• Functional data analysis.
• Relative self-adjoint operators in Hilbert space
• Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization
• Nonstationary inverse problems and state estimation
• A family of minimax rates for density estimators in continuous time
• Linear inverse problems for generalised random variables
• Linear estimators and measurable linear transformations on a Hilbert space
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter

This page was built for publication: On the functional Hodrick-Prescott filter with non-compact operators