A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
Statistics Theory
2016-10-05 v1 Statistics Theory
Abstract
In this paper we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the 'noise-to-signal' structure. Moreover, we propose a consistent estimator of this optimal smoothing operator.
Keywords
Cite
@article{arxiv.1503.06284,
title = {A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter},
author = {Hiba Nassar},
journal= {arXiv preprint arXiv:1503.06284},
year = {2016}
}
Comments
15 pages