Hiba Nassar
Abstract
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In this paper we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the 'noise-to-signal' structure. Moreover, we propose a consistent estimator of this optimal smoothing operator.
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In this paper we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the 'noise-to-signal' structure. Moreover, we propose a consistent estimator of this optimal smoothing operator.
Key concepts: Smoothing, Estimator, Hodrick–Prescott filter, Operator (biology), Filter (signal processing), Series (stratigraphy), Computer science, Noise (video)