A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/b01108f4-53d3-464c-82c6-9019d8554638
- author
- Nassar, Hiba LU
- organization
- publishing date
- 2017-06-30
- 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
- 2022-01-30 23:02:52
@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}}, keywords = {{inverse problems; adaptive estimation; functional Hodrick-Prescott filter; smoothing; Hilbert space-valued Gaussian random variables}}, language = {{eng}}, month = {{06}}, 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}}, doi = {{10.1080/03610926.2017.1346806}}, year = {{2017}}, }