Several least-squares problems related to the Hodrick–Prescott filtering

DOI10.1080/03610926.2017.1285934zbMath1462.62220OpenAlexW2584221745MaRDI QIDQ4639096

Hiroshi Yamada

Publication date: 2 May 2018

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1285934

zbMATH Keywords

penalized least squaresHodrick-Prescott filteringWhittaker-Henderson method of graduation

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Related Items (4)

TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ An explicit formula for the smoother weights of the Hodrick-Prescott filter ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER ⋮ Explicit formulas for the smoother weights of the Whittaker–Henderson graduation of order 1

Cites Work

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• A non-iterative optimization method for smoothness in penalized spline regression
• Efficient computation for Whittaker-Henderson smoothing
• Low frequency filtering and real business cycles
• Ridge Regression Representations of the Generalized Hodrick-Prescott Filter
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
• Recent Developments in Graduation and Interpolation

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