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A Functional Hodrick-Prescott Filter

Nassar, Hiba LU and Djehiche, Boualem (2016) In Journal of Inverse and Ill-Posed Problems (JIIP)
Abstract
We propose a functional version of the Hodrick–Prescott filter for functional data which take values in an in nite-dimensional separable Hilbert space. We further characterize the associated optimal smooth- ing operator when the associated linear operator is compact and the underlying distribution of the data is Gaussian.
Please use this url to cite or link to this publication:
author
publishing date
type
Contribution to journal
publication status
epub
keywords
Inverse problems, adaptive estimation, Hodrick–Prescott filter, smoothing, signal extraction, Gaussian measures on a Hilbert space
in
Journal of Inverse and Ill-Posed Problems (JIIP)
external identifiers
  • scopus:84960539968
DOI
10.1515/jiip-2015-0111
language
English
LU publication?
no
id
123944b3-a896-41f6-bbc8-9efe77fed866
date added to LUP
2016-09-28 09:07:30
date last changed
2017-01-15 04:41:44
@article{123944b3-a896-41f6-bbc8-9efe77fed866,
  abstract     = {We propose a functional version of the Hodrick–Prescott  filter for functional data which take values in an in nite-dimensional separable Hilbert space. We further characterize the associated optimal smooth- ing operator when the associated linear operator is compact and the underlying distribution of the data is Gaussian.},
  author       = {Nassar, Hiba and  Djehiche, Boualem },
  keyword      = {Inverse problems,adaptive estimation,Hodrick–Prescott  filter,smoothing, signal extraction,Gaussian measures on a Hilbert space},
  language     = {eng},
  series       = {Journal of Inverse and Ill-Posed Problems (JIIP)},
  title        = {A Functional Hodrick-Prescott Filter},
  url          = {http://dx.doi.org/10.1515/jiip-2015-0111},
  year         = {2016},
}