Exact formulas for the Hodrick-Prescott filter

DOI10.1111/j.1368-423x.2008.00230.xzbMath1135.91412WikidataQ56453475 ScholiaQ56453475MaRDI QIDQ73810

Tucker Mcelroy, Tucker S. McElroy

Publication date: March 2008

Published in: The Econometrics Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (6)

Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling ⋮ Optimal real-time filters for linear prediction problems ⋮ On the measurement and treatment of extremes in time series ⋮ hpfilter ⋮ Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter ⋮ A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION

Cites Work

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