Add to ORKGThe univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smoothing parameter. We first propose an optimality criterium for choosing the best smoothing parameters, and show that the noise-to-signal ratio is the unique minimizer of this criterium. We then propose a multivariate extension of the filter and show that there is a whole class of positive definite matrices that satisfy a similar optimality criterium
Though the noise removal capability of multivariatemedianfilters has been carefully investigated, a ...
The linear optimal filtering problems in infinite dimensional Hilbert spaces and their extensions ar...
It is well known that the optimum filter in presence of an additive stationary noise of spectral den...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smooth-in...
In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time s...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The focus of this research proposal is an optimality theory for multirate systems with regards to t...
A new expression for the output moments of weighted median filtered data is derived in this paper. T...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • ...
A matrix filter produces N output values given a block of N input values. Matrix filters are particu...
This paper presents a method for the design of median-type filters that achieve the maximum noise at...
The detection of a known signal in multivariate non-Gaussian noise characterized by the transformati...
A new approach to robust filtering, prediction and smoothing of discretetime signal vectors is prese...
Though the noise removal capability of multivariatemedianfilters has been carefully investigated, a ...
The linear optimal filtering problems in infinite dimensional Hilbert spaces and their extensions ar...
It is well known that the optimum filter in presence of an additive stationary noise of spectral den...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smooth-in...
In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time s...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The focus of this research proposal is an optimality theory for multirate systems with regards to t...
A new expression for the output moments of weighted median filtered data is derived in this paper. T...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • ...
A matrix filter produces N output values given a block of N input values. Matrix filters are particu...
This paper presents a method for the design of median-type filters that achieve the maximum noise at...
The detection of a known signal in multivariate non-Gaussian noise characterized by the transformati...
A new approach to robust filtering, prediction and smoothing of discretetime signal vectors is prese...
Though the noise removal capability of multivariatemedianfilters has been carefully investigated, a ...
The linear optimal filtering problems in infinite dimensional Hilbert spaces and their extensions ar...
It is well known that the optimum filter in presence of an additive stationary noise of spectral den...