Ridge Regression Representations of the Generalized Hodrick-Prescott Filter

DOI10.14490/jjss.45.121zbMath1356.62228OpenAlexW2484547510MaRDI QIDQ2832979

Hiroshi Yamada

Publication date: 15 November 2016

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.45.121

zbMATH Keywords

ridge regressionHodrick-Prescott filterWhittaker-Henderson method of graduation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (6)

TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ A new method for specifying the tuning parameter of \(\ell_1\) trend filtering ⋮ An explicit formula for the smoother weights of the Hodrick-Prescott filter ⋮ Several least-squares problems related to the Hodrick–Prescott filtering ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER ⋮ Explicit formulas for the smoother weights of the Whittaker–Henderson graduation of order 1

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