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 language | English (US) |
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Pages (from-to) | 135-148 |
Number of pages | 14 |
Journal | Journal of Inverse and Ill-Posed Problems |
Volume | 25 |
Issue number | 2 |
DOIs | |
State | Published - 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