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Functional Hodrick-Prescott Filter
KTH Royal Institute of Technology.
Linnaeus University, Faculty of Technology, Department of Mathematics.
2017 (English)In: Journal of Inverse and Ill-Posed Problems, ISSN 0928-0219, E-ISSN 1569-3945, Vol. 25, no 2, p. 135-148Article in journal (Refereed) Published
Abstract [en]

We propose a functional version of the Hodrick–Prescott filter for functional data which take values in an infinite-dimensional separable Hilbert space. We further characterize the associated optimal smoothing operator when the associated linear operator is compact and the underlying distribution of the data is Gaussian.

Place, publisher, year, edition, pages
New York: Academic Press, 2017. Vol. 25, no 2, p. 135-148
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-24247DOI: 10.1515/jiip-2015-0111ISI: 000398963900001OAI: oai:DiVA.org:lnu-24247DiVA, id: diva2:604952
Available from: 2013-02-12 Created: 2013-02-12 Last updated: 2018-05-31Bibliographically approved
In thesis
1. The Hodrick-Prescott Filter: Functional aspects and statistical estimation.
Open this publication in new window or tab >>The Hodrick-Prescott Filter: Functional aspects and statistical estimation.
2015 (English)Doctoral thesis, comprehensive summary (Other academic)
Place, publisher, year, edition, pages
Växjö: Linnaeus University Press, 2015
Series
Linnaeus University Dissertations ; 218/2015
Keywords
Hodrick-Prescott Filter, Functional data, Estimation, Smoothing Operator.
National Category
Mathematics
Research subject
Mathematics, Applied Mathematics
Identifiers
urn:nbn:se:lnu:diva-42276 (URN)978-91-87925-57-3 (ISBN)
Public defence
2015-05-08, D1136, Växjö, 10:15 (English)
Opponent
Supervisors
Available from: 2015-05-06 Created: 2015-04-14 Last updated: 2015-05-06Bibliographically approved

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Nassar, Hiba

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf