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On the Functional Hodrick-Prescott Filter with Non-compact Operators
KTH Royal Institute of Technology.
Linnaeus University, Faculty of Technology, Department of Mathematics.
Linnaeus University, Faculty of Technology, Department of Mathematics.
2016 (English)In: Random Operators and Stochastic Equations, ISSN 0926-6364, E-ISSN 1569-397X, Vol. 24, no 1, 33-42 p.Article in journal (Refereed) Published
Abstract [en]

We study a version of the functional Hodrick-Prescott filter where the associated operator is not necessarily compact, but merely closed and densely defined with closed range. We show that the associate doptimal smoothing operator preserves the structure obtained in the compact case, when the underlying distribution of the data is Gaussian.

Place, publisher, year, edition, pages
2016. Vol. 24, no 1, 33-42 p.
Keyword [en]
Inverse problems, adaptive estimation, Hodrick–Prescott filter, smoothing, trend extraction, Gaussian measures on a Hilbert space
National Category
Other Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-40160DOI: 10.1515/rose-2016-0003Scopus ID: 2-s2.0-84960539968OAI: oai:DiVA.org:lnu-40160DiVA: diva2:788477
Available from: 2015-02-15 Created: 2015-02-15 Last updated: 2017-05-31Bibliographically 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
Keyword
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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CiteExportLink to record
Permanent link

Direct link
Cite
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