The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...

The object of this paper is to produce non-parametric maximum likelihood estimates of forecast distributions in a general non-Gaussian, non-linear state space setting. The transition densities that define the evolution of the dynamic state process are represented in parametric form, but the...