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A functional Hodrick-Prescott filter
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.).ORCID iD: 0000-0002-6608-0715
2017 (English)In: Journal of Inverse and Ill-Posed Problems, ISSN 0928-0219, E-ISSN 1569-3945, Vol. 25, no 2, 135-148 p.Article 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
WALTER DE GRUYTER GMBH , 2017. Vol. 25, no 2, 135-148 p.
Keyword [en]
Inverse problems, adaptive estimation, Hodrick-Prescott filter, smoothing, signal extraction, Gaussian measures on a Hilbert space
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-206696DOI: 10.1515/jiip-2015-0111ISI: 000398963900001Scopus ID: 2-s2.0-85016837758OAI: oai:DiVA.org:kth-206696DiVA: diva2:1094025
Note

QC 20170509

Available from: 2017-05-09 Created: 2017-05-09 Last updated: 2017-05-09Bibliographically approved

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Djehiche, Boualem
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