On a Graduation Problem involving both the Hodrick-Prescott Filter and Optimal Spline Smoothing
2011 (English)In: Far East Journal of Theoretical Statistics, ISSN 0972-0863, Vol. 36, no 1, 1-19 p.Article in journal (Refereed) Published
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.
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
IdentifiersURN: urn:nbn:se:kth:diva-59965OAI: oai:DiVA.org:kth-59965DiVA: diva2:476831
QC 201201252012-01-122012-01-122012-01-25Bibliographically approved