Efficient computation for Whittaker-Henderson smoothing
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- 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.
- Weinert, Howard L., 2009. "A fast compact algorithm for cubic spline smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 932-940, February.
- Hiroshi Yamada, 2023. "Quantile regression version of Hodrick–Prescott filter," Empirical Economics, Springer, vol. 64(4), pages 1631-1645, April.
- 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.
- Ruixue Du & Hiroshi Yamada, 2020. "Principle of Duality in Cubic Smoothing Spline," Mathematics, MDPI, vol. 8(10), pages 1-19, October.
- Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.
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