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

DOI10.1080/03610926.2017.1346806OpenAlexW315982259WikidataQ84932394 ScholiaQ84932394MaRDI QIDQ5160235

Hiba Nassar

Publication date: 28 October 2021

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

Full work available at URL: https://arxiv.org/abs/1503.06284

zbMATH Keywords

smoothinginverse problemsadaptive estimationfunctional Hodrick-Prescott filterHilbert space-valued Gaussian random variables

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Uses Software

• fda (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the functional Hodrick-Prescott filter with non-compact operators
• A partial overview of the theory of statistics with functional data
• Inference for functional data with applications
• Nonparametric regression for functional response and functional regressor under dependance
• A functional Hodrick-Prescott filter
• Weakly dependent functional data
• Statistics for functional data
• Testing the stability of the functional autoregressive process
• Gaussian measures in Banach spaces
• Applied functional data analysis. Methods and case studies
• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• 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: A consistent estimator of the smoothing operator in the functional Hodrick–Prescott filter