ON A GRADUATION PROBLEM INVOLVING BOTH THE ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
ON A GRADUATION PROBLEM INVOLVING BOTH THE HODRICK-PRESCOTT FILTER AND OPTIMAL SPLINE SMOOTHING
Auteur(s) :
Djehiche, Boualem []
Department of Mathematics [KTH Royal Institute of Technology]
Marcus, Marten [Auteur]
Department of Mathematics [KTH Royal Institute of Technology]
Rahmania, Nadji []
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Department of Mathematics [KTH Royal Institute of Technology]
Marcus, Marten [Auteur]
Department of Mathematics [KTH Royal Institute of Technology]
Rahmania, Nadji []
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Titre de la revue :
Far East Journal of Theoretical Statistics
Pagination :
1-19
Éditeur :
Pushpa Publishing opuse
Date de publication :
2011
ISSN :
0972-0863
Mot(s)-clé(s) en anglais :
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
Gaussian process
B-spline function
optimal approximating splines
Hodrick-Prescott filter
Leser filter
noise-to-signal ratio
smoothing
trend extraction
generalized cross validation
Discipline(s) HAL :
Mathématiques [math]/Statistiques [math.ST]
Résumé en anglais : [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 (t j-1, t j) and as the HodrickPrescott filter ...
Lire la suite >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 (t j-1, t j) and as the HodrickPrescott filter in the knots t j, j = 1,...,n. We also outline its numerical performance and compare it to the existing estimates of the standard Hodrick-Prescott filter.Lire moins >
Lire la suite >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 (t j-1, t j) and as the HodrickPrescott filter in the knots t j, j = 1,...,n. We also outline its numerical performance and compare it to the existing estimates of the standard Hodrick-Prescott filter.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
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