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math.ST2013
On the functional Hodrick-Prescott Filter with non-compact operators
Boualem Djehiche, Astrid Hilbert, Hiba Nassar
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 s…
math.ST2013★ 1 cited
A Functional Hodrick Prescott Filter
Boualem Djehiche, Hiba Nassar
We propose a functional version of the Hodrick-Prescott filter for functional data which take values in an infinite dimensional separable Hilbert space. We further characterize the…