Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter

DOI10.14490/jjss.35.99zbMath1070.62079OpenAlexW3124800605MaRDI QIDQ5695133

Ekkehart Schlicht

Publication date: 11 October 2005

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

Full work available at URL: https://doi.org/10.14490/jjss.35.99

zbMATH Keywords

trendsplineKalman filteringrandom walkstate-space modelsHodrick-Prescott filtertime-varying coefficientsvariance estimationseasonal adjustmenttime-seriesAdaptive estimationorthogonal parametrizationWhittaker- Henderson graduationKalman-Bucy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Point estimation (62F10)

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