Reeves, Jonathan J.; Blyth, Conrad A.; Triggs, … - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1
This paper proposes a novel derivation of the Hodrick-Prescott (HP) minimization problem which leads to a generalization of the Hodrick-Prescott filter. The main result is the development of a new filter to extract a localized maximum-likelihood estimate of the cycle from a series. This new...
