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]

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

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 >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL