A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter

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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.

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Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Probability Theory and Statistics

Keywords

  • inverse problems, adaptive estimation, functional Hodrick-Prescott filter, smoothing, Hilbert space-valued Gaussian random variables
Original languageEnglish
Number of pages16
JournalCommunications in Statistics - Theory and Methods
Publication statusPublished - 2017 Jun 30
Publication categoryResearch
Peer-reviewedYes