A Functional Hodrick Prescott Filter
Statistics Theory
2016-11-25 v1 Statistics Theory
Abstract
We propose a functional version of the Hodrick-Prescott filter for functional data which take values in an infinite dimensional separable Hilbert space. We further characterize the associated optimal smoothing parameter when the associated linear operator is compact and the underlying distribution of the data is Gaussian.
Keywords
Cite
@article{arxiv.1312.4936,
title = {A Functional Hodrick Prescott Filter},
author = {Boualem Djehiche and Hiba Nassar},
journal= {arXiv preprint arXiv:1312.4936},
year = {2016}
}