ON A GRADUATION PROBLEM INVOLVING BOTH THE ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
ON A GRADUATION PROBLEM INVOLVING BOTH THE HODRICK-PRESCOTT FILTER AND OPTIMAL SPLINE SMOOTHING
Author(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]
Journal title :
Far East Journal of Theoretical Statistics
Pages :
1-19
Publisher :
Pushpa Publishing opuse
Publication date :
2011
ISSN :
0972-0863
English keyword(s) :
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
HAL domain(s) :
Mathématiques [math]/Statistiques [math.ST]
English 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 (t j-1, t j) and as the HodrickPrescott filter ...
Show more >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.Show less >
Show more >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.Show less >
Language :
Anglais
Popular science :
Non
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