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A Functional Hodrick-Prescott Filter

Nassar, Hiba LU and Djehiche, Boualem (2017) In Journal of Inverse and Ill-Posed Problems (JIIP) 25(2). p.135-148
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
and
publishing date
type
Contribution to journal
publication status
published
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)
volume
25
issue
2
pages
135 - 148
publisher
De Gruyter
external identifiers
  • scopus:85016837758
ISSN
0928-0219
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
2025-10-14 12:47:00
@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}},
  issn         = {{0928-0219}},
  keywords     = {{Inverse problems; adaptive estimation; Hodrick–Prescott  filter; smoothing, signal extraction; Gaussian measures on a Hilbert space}},
  language     = {{eng}},
  number       = {{2}},
  pages        = {{135--148}},
  publisher    = {{De Gruyter}},
  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}},
  doi          = {{10.1515/jiip-2015-0111}},
  volume       = {{25}},
  year         = {{2017}},
}