On the functional Hodrick–Prescott filter with non-compact operators-Reference-Cited by-同舟云学术

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

Published:2016-01-01 Issue:1 Volume:24 Page:
ISSN:0926-6364
Container-title:Random Operators and Stochastic Equations
language:
Short-container-title:

Author:

Djehiche Boualem,Hilbert Astrid,Nassar Hiba

Abstract

AbstractWe 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.

Funder

Swedish Export Credit Corporation

Publisher

Walter de Gruyter GmbH

Subject

Statistics and Probability,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/rose-2016-0003/pdf

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