On the functional Hodrick-Prescott filter with non-compact operators

Boualem Djehiche; Astrid Hilbert; Hiba Nassar

doi:10.1515/rose-2016-0003

On the functional Hodrick-Prescott filter with non-compact operators

Boualem Djehiche, Astrid Hilbert, Hiba Nassar

Mathematics

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

Abstract

We study a version of the functional Hodrick-Prescott filter in the case when the associated operator is not necessarily compact but merely closed and densely defined with closed range. We show that the associated optimal smoothing operator preserves the structure obtained in the compact case when the underlying distribution of the data is Gaussian.

Original language	English (US)
Pages (from-to)	33-42
Number of pages	10
Journal	Random Operators and Stochastic Equations
Volume	24
Issue number	1
DOIs	https://doi.org/10.1515/rose-2016-0003
State	Published - Mar 1 2016

Keywords

adaptive estimation
Gaussian measures on a Hilbert space
Hodrick-Prescott filter
Inverse problems
smoothing
trend extraction

ASJC Scopus subject areas

Analysis
Statistics and Probability

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keywords = "adaptive estimation, Gaussian measures on a Hilbert space, Hodrick-Prescott filter, Inverse problems, smoothing, trend extraction",

author = "Boualem Djehiche and Astrid Hilbert and Hiba Nassar",

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AU - Hilbert, Astrid

AU - Nassar, Hiba

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KW - Inverse problems

KW - smoothing

KW - trend extraction

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On the functional Hodrick-Prescott filter with non-compact operators

Abstract

Keywords

ASJC Scopus subject areas

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