Estimation of the smoothing parameters in the HPMV filter

A. Dermoune; B. Djehiche; N. Rahmania

doi:10.2478/v10157-010-0038-0

Estimation of the smoothing parameters in the HPMV filter

A. Dermoune, B. Djehiche, N. Rahmania

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

We suggest an optimality criterion, for choosing the best smoothing parameters for an extension of the so-called Hodrick-Prescott Multivariate (HPMV) filter. We show that this criterion admits a whole set of optimal smoothing parameters, to which belong the widely used noise-to-signal ratios. We also propose explicit consistent estimators of these noise-to-signal ratios, which in turn yield a new performant method to estimate the output gap.

Original language	English (US)
Pages (from-to)	61-75
Number of pages	15
Journal	Analele Stiintifice ale Universitatii Al I Cuza din Iasi - Matematica
Volume	57
Issue number	1
DOIs	https://doi.org/10.2478/v10157-010-0038-0
State	Published - 2011

Keywords

Adaptive estimation
Detrending
Gaussian process
Hodrick-prescott filter
Noiseto-signal ratio
Orthogonal parametrization
Output gap
Potential output
Unobserved components models

ASJC Scopus subject areas

General Mathematics

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10.2478/v10157-010-0038-0

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AU - Djehiche, B.

AU - Rahmania, N.

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AB - We suggest an optimality criterion, for choosing the best smoothing parameters for an extension of the so-called Hodrick-Prescott Multivariate (HPMV) filter. We show that this criterion admits a whole set of optimal smoothing parameters, to which belong the widely used noise-to-signal ratios. We also propose explicit consistent estimators of these noise-to-signal ratios, which in turn yield a new performant method to estimate the output gap.

KW - Adaptive estimation

KW - Detrending

KW - Gaussian process

KW - Hodrick-prescott filter

KW - Noiseto-signal ratio

KW - Orthogonal parametrization

KW - Output gap

KW - Potential output

KW - Unobserved components models

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JO - Analele Stiintifice ale Universitatii Al I Cuza din Iasi - Matematica

JF - Analele Stiintifice ale Universitatii Al I Cuza din Iasi - Matematica

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Estimation of the smoothing parameters in the HPMV filter

Abstract

Keywords

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