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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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.
収録刊行物
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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
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詳細情報 詳細情報について
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- CRID
- 1390282680263116288
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- NII論文ID
- 110006835624
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- NII書誌ID
- AA1105098X
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- ISSN
- 13486365
- 18822754
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- MRID
- 2458929
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- NDL書誌ID
- 9597256
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可