Estimating trends with percentage of smoothness chosen by the user
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Publication:6574224
DOI10.1111/j.1751-5823.2008.00047.xMaRDI QIDQ6574224
Publication date: 18 July 2024
Published in: International Statistical Review (Search for Journal in Brave)
Kalman filterHodrick-Prescott filtersignal extractionpenalized least squaressmooth curvetime series modelsrelative precisionsmoothness index
Mathematical economics (91Bxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)
Cites Work
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- Data graduation based on statistical time series methods
- The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
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