On the Functional Hodrick-Prescott Filter with Non-compact Operators

• We study a version of the functional Hodrick-Prescott filter where the associated operator is not necessarily compact, but merely closed and densely defined with closed range. We show that the associate doptimal smoothing operator preserves the structure obtained in the compact case, when the underlying distribution of the data is Gaussian.

Subject headings

NATURVETENSKAP  -- Matematik -- Annan matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Other Mathematics (hsv//eng)

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Keyword

Inverse problems

adaptive estimation

Hodrick–Prescott filter

smoothing

trend extraction

Gaussian measures on a Hilbert space

Mathematics

Matematik

Publication and Content Type

ref (subject category)

art (subject category)