A small but practically useful modification to the Hodrick–Prescott filtering: A note

DOI10.1080/03610926.2016.1179764zbMath1377.62215OpenAlexW2513604107MaRDI QIDQ4586578

Hiroshi Yamada

Publication date: 27 October 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1179764

zbMATH Keywords

ridge regressionHodrick-Prescott filteringWhittaker-Henderson method of graduationtrend component

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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A modification of the Whittaker–Henderson method of graduation

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