lnu.sePublications
Change search
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
A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
Lund Universiy.
2018 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 47, no 12, p. 3029-3042Article in journal (Refereed) Published
Abstract [en]

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' structure. Moreover, we propose a consistent estimator of this optimal smoothing operator.

Place, publisher, year, edition, pages
2018. Vol. 47, no 12, p. 3029-3042
Keywords [en]
consistent estimator, functional Hodrick-Prescott filter, optimal smoothing operator, functional time series
National Category
Other Mathematics Probability Theory and Statistics
Research subject
Mathematics, Applied Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-42275DOI: 10.1080/03610926.2017.1346806OAI: oai:DiVA.org:lnu-42275DiVA, id: diva2:805043
Available from: 2015-04-14 Created: 2015-04-14 Last updated: 2018-04-12Bibliographically 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

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textArXiv

Authority records BETA

Nassar, Hiba

Search in DiVA

By author/editor
Nassar, Hiba
In the same journal
Communications in Statistics - Theory and Methods
Other MathematicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 0 hits
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