Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization

DOI10.2202/1558-3708.1656zbMath1194.62107OpenAlexW2171755158WikidataQ117787889 ScholiaQ117787889MaRDI QIDQ3574748

Boualem Djehiche, Nadji Rahmania, Azzouz Dermoune

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1656

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Multivariate analysis (62H99)

Related Items (6)

Parametrizations, weights, and optimal prediction ⋮ Estimation of the Smoothing Parameters in the HPMV Filter ⋮ A functional Hodrick-Prescott filter ⋮ Parametrizations, fixed and random effects ⋮ General linear mixed model and signal extraction problem with constraint ⋮ On the functional Hodrick-Prescott filter with non-compact operators

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