ESTIMATION OF THE SMOOTHING PARAMETERS IN THE HPMV FILTER
Overview & Synopsis
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.
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hal.science)
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Document Information
| Document Title | ESTIMATION OF THE SMOOTHING PARAMETERS IN THE HPMV FILTER |
|---|---|
| Author / Organization | Nadji Rahmania, Azzouz Dermoune, Boualem Djehiche |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2011 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-249519 |
| Original Source Link | Visit Source Page on hal.science » |