On the functional Hodrick-Prescott Filter with non-compact operators
Statistics Theory
2013-12-19 v1 Statistics Theory
Abstract
We study a version of the functional Hodrick-Prescott filter where the associated operator is not necessarily compact, but merely closed and densely defined with closed range. We show that the associated optimal smoothing operator preserves the structure obtained in the compact case, when the underlying distribution of the data is Gaussian.
Keywords
Cite
@article{arxiv.1312.4943,
title = {On the functional Hodrick-Prescott Filter with non-compact operators},
author = {Boualem Djehiche and Astrid Hilbert and Hiba Nassar},
journal= {arXiv preprint arXiv:1312.4943},
year = {2013}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1312.4936