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On the functional Hodrick-Prescott filter with non-compact operators
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2016 (English)In: Random Operators and Stochastic Equations, ISSN 0926-6364, E-ISSN 1569-397X, Vol. 24, no 1, 33-42 p.Article in journal (Refereed) PublishedText
Abstract [en]

We study a version of the functional Hodrick-Prescott filter in the case when the associated operator is not necessarily compact but merely closed and densely defined with closed range. We show that the associated optimal smoothing operator preserves the structure obtained in the compact case when the underlying distribution of the data is Gaussian.

Place, publisher, year, edition, pages
Walter de Gruyter, 2016. Vol. 24, no 1, 33-42 p.
Keyword [en]
adaptive estimation, Gaussian measures on a Hilbert space, Hodrick-Prescott filter, Inverse problems, smoothing, trend extraction
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-187284DOI: 10.1515/rose-2016-0003ScopusID: 2-s2.0-84960539968OAI: oai:DiVA.org:kth-187284DiVA: diva2:929634
Note

QC 20160519

Available from: 2016-05-19 Created: 2016-05-19 Last updated: 2016-05-19Bibliographically approved

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Djehiche, Boualem
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