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Efficient computation for Whittaker-Henderson smoothing

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  • Weinert, Howard L.
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(06)00471-3
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 52 (2007)
    Issue (Month): 2 (October)
    Pages: 959-974

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    Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:959-974
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Verrall, R. J., 1993. "A state space formulation of Whittaker graduation, with extensions," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 7-14, September.
    2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    3. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    4. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
    5. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
    6. Brooks, R. J. & Stone, M. & Chan, F. Y. & Chan, L. K., 1988. "Cross-validatory graduation," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 59-66, January.
    7. Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
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    Cited by:

    1. Garcia, Damien, 2010. "Robust smoothing of gridded data in one and higher dimensions with missing values," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 1167-1178, April.
    2. repec:eee:phsmap:v:483:y:2017:i:c:p:462-479 is not listed on IDEAS
    3. Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009. "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-35, May.
    4. Weinert, Howard L., 2009. "A fast compact algorithm for cubic spline smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 932-940, February.

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