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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.
Please use this url to cite or link to this publication:
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
Taylor & Francis
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
2025-10-14 12:23:20
@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    = {{Taylor & Francis}},
  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}},
}