A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Number of pages||16|
|Journal||Communications in Statistics - Theory and Methods|
|Publication status||Published - 2017 Jun 30|