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 ratio’ structure. Moreover, as the main result, we propose a consistent estimator of this optimal smoothing operator.
| Original language | English |
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| Number of pages | 16 |
| Journal | Communications in Statistics - Theory and Methods |
| DOIs | |
| Publication status | Published - 2017 Jun 30 |
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- inverse problems
- adaptive estimation
- functional Hodrick-Prescott filter
- smoothing
- Hilbert space-valued Gaussian random variables