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A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter

Nassar, Hiba LU (2017) In Communications in Statistics - Theory and Methods
Abstract
In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the ‘noise-to-signal ratio’ structure. Moreover, as the main result, we propose a consistent estimator of this optimal smoothing operator.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
inverse problems, adaptive estimation, functional Hodrick-Prescott filter, smoothing, Hilbert space-valued Gaussian random variables
in
Communications in Statistics - Theory and Methods
pages
16 pages
publisher
Marcel Dekker
external identifiers
  • scopus:85031506846
ISSN
0361-0926
DOI
10.1080/03610926.2017.1346806
language
English
LU publication?
yes
id
b01108f4-53d3-464c-82c6-9019d8554638
date added to LUP
2017-09-30 12:50:08
date last changed
2018-01-07 12:20:07
@article{b01108f4-53d3-464c-82c6-9019d8554638,
  abstract     = {In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the ‘noise-to-signal ratio’ structure. Moreover, as the main result, we propose a consistent estimator of this optimal smoothing operator.},
  author       = {Nassar, Hiba},
  issn         = {0361-0926},
  keyword      = {inverse problems, adaptive estimation,functional Hodrick-Prescott filter,smoothing,Hilbert space-valued Gaussian random variables},
  language     = {eng},
  month        = {06},
  pages        = {16},
  publisher    = {Marcel Dekker},
  series       = {Communications in Statistics - Theory and Methods},
  title        = {A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter},
  url          = {http://dx.doi.org/10.1080/03610926.2017.1346806},
  year         = {2017},
}