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Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
adaptive estimation Hodrick-Prescott filter Kalman-Bucy Kalman filtering orthogonal parametrization, random walk, seasonal adjustment, spline state-space models time-series time-varying coefficients trend Whittaker-Henderson graduation
2009/3/9
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). A maximum-likelihood estimator is derived and a related moments estimator is propo...
A Consistent Estimator of the Smoothing Parameter in the Hodrick-Prescott Filter
Adaptive estimation Gaussian process Hodrick-Prescott filter orthogonal parametrization
2009/3/5
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. busines...
Trend Estimation and the Hodrick-Prescott Filter
Signal-noise ratios smoothing constant stochastic cycles stochastic trends unobserved components models
2009/3/5
The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing co...