A Functional Hodrick-Prescott Filter
Research output: Contribution to journal › Article
We propose a functional version of the Hodrick–Prescott filter for functional data which take values in an in nite-dimensional separable Hilbert space. We further characterize the associated optimal smooth- ing operator when the associated linear operator is compact and the underlying distribution of the data is Gaussian.
|Research areas and keywords||
|Journal||Journal of Inverse and Ill-Posed Problems (JIIP)|
|Publication status||E-pub ahead of print - 2016 Mar|