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Estimation of the smoothing parameters in the HPMV filter
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2011 (English)In: ANALELE STIINT UNIV AL I CUZA, ISSN 1221-8421, Vol. 57, no 1, 61-75 p.Article in journal (Refereed) Published
Abstract [en]

We suggest an optimality criterion, for choosing the best smoothing parameters for an extension of the so-called Hodrick-Prescott Multivariate (HPMV) filter. We show that this criterion admits a whole set of optimal smoothing parameters, to which belong the widely used noise-to-signal ratios. We also propose explicit consistent estimators of these noise-to-signal ratios, which in turn yield a new performant method to estimate the output gap.

Place, publisher, year, edition, pages
2011. Vol. 57, no 1, 61-75 p.
Keyword [en]
adaptive estimation, Gaussian process, Hodrick-Prescott filter, noise-to-signal ratio, orthogonal parametrization, output gap, potential output, detrending, unobserved components models
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-33260ISI: 000289606700006ScopusID: 2-s2.0-84865429987OAI: diva2:414292
QC 20110503Available from: 2011-05-03 Created: 2011-05-02 Last updated: 2012-03-20Bibliographically approved

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Djehiche, Boualem
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