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On a Graduation Problem involving both the Hodrick-Prescott Filter and Optimal Spline Smoothing
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2011 (English)In: Far East Journal of Theoretical Statistics, ISSN 0972-0863, Vol. 36, no 1, 1-19 p.Article in journal (Refereed) Published
Abstract [en]

We suggest an explicit solution to the graduation problem that aims at designing an optimal curve fit which simultaneously behaves as a smoothing B-spline in each time interval  and as the Hodrick-Prescott filter in the knots  We also outline its numerical performance and compare it to the existing estimates of the standard Hodrick-Prescott filter.

Place, publisher, year, edition, pages
2011. Vol. 36, no 1, 1-19 p.
Keyword [en]
adaptive estimation, Gaussian process, B-spline function, optimal approximating splines, Hodrick-Prescott filter, Leser filter, noise-to-signal ratio, smoothing, trend extraction, generalized cross validation
National Category
URN: urn:nbn:se:kth:diva-59965OAI: diva2:476831
QC 20120125Available from: 2012-01-12 Created: 2012-01-12 Last updated: 2012-01-25Bibliographically approved

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Djehiche, Boualem
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