A Consistent Estimator of the Smoothing Parameter in the Hodrick-Prescott Filter
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- Dermoune Azzouz
- Laboratoire de Probabilités et Statistique, UFR de Mathématiques, USTL
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- Djehiche Boualem
- Department of Mathematics, The Royal Institute of Technology
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- Rahmania Nadji
- Laboratoire de Probabilités et Statistique, UFR de Mathématiques, USTL
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Abstract
The so-called Hodrick-Prescott filter was first introduced in actuarial science to estimate trends from claims data and now is widely used in economics and finance to estimate and predict e.g. business cycles and trends in financial data series. This filter depends on the noise-to-signal ratio α that acts as a smoothing parameter. We propose a new consistent estimator of this smoothing parameter and construct corresponding non-asymptotic confidence intervals with a precise confidence level.
Journal
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- JOURNAL OF THE JAPAN STATISTICAL SOCIETY
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JOURNAL OF THE JAPAN STATISTICAL SOCIETY 38 (2), 225-241, 2008
THE JAPAN STATISTICAL SOCIETY
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Details 詳細情報について
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- CRID
- 1390282680263116288
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- NII Article ID
- 110006835624
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- NII Book ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- MRID
- 2458929
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- NDL BIB ID
- 9597256
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- Text Lang
- en
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- Data Source
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- Abstract License Flag
- Disallowed