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~person:"Rahmania, Nadji"
~subject:"adaptive estimation"
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adaptive estimation
Gaussian process
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Hodrick-Prescott filter
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initial-value parametrization
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Rahmania, Nadji
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Multivariate Extension of the
Hodrick-Prescott
Filter
-Optimality and Characterization
Dermoune, Azzouz
;
Djehiche, Boualem
;
Rahmania, Nadji
- In:
Studies in Nonlinear Dynamics & Econometrics
13
(
2009
)
3
,
pp. 1656-1656
The univariate
Hodrick-Prescott
filter
depends on the noise-to-signal ratio that acts as a smoothing parameter. We …
Persistent link: https://www.econbiz.de/10005046474
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