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

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

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.

Detaljer

Författare
  • Hiba Nassar
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Sannolikhetsteori och statistik

Nyckelord

Originalspråkengelska
Antal sidor16
TidskriftCommunications in Statistics - Theory and Methods
StatusPublished - 2017 jun 30
PublikationskategoriForskning
Peer review utfördJa