A functional Hodrick-Prescott filter

Boualem Djehiche, Hiba Nassar

Research output: Contribution to journalArticlepeer-review

Abstract

We propose a functional version of the Hodrick-Prescott filter for functional data which take values in an infinite-dimensional separable Hilbert space. We further characterize the associated optimal smoothing operator when the associated linear operator is compact and the underlying distribution of the data is Gaussian.

Original languageEnglish (US)
Pages (from-to)135-148
Number of pages14
JournalJournal of Inverse and Ill-Posed Problems
Volume25
Issue number2
DOIs
StatePublished - Apr 1 2017

Keywords

  • adaptive estimation
  • Gaussian measures on a Hilbert space
  • Hodrick-Prescott flter
  • Inverse problems
  • signal extraction
  • smoothing

ASJC Scopus subject areas

  • Applied Mathematics

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