晚间
发表于 2025-3-23 11:42:24
ARIMA Models and Signal Extraction,because, in general, the polynomial Ψ(.) will contain an infinite number of parameters. Therefore we use a rational approximation of the type . where .(.) and .(.) are finite polynomials in . of order . and ., respectively. Then we can write
Accommodation
发表于 2025-3-23 17:52:20
Detrending and the Hodrick-Prescott Filter, e.g., Otnes and Enochson (1978)). The filters are typically expressed by means of the sine or tangent functions. For the sine-type case, the filter is represented, in the frequency domain, by its gain function which, for the two-sided filter, is given by
幻影
发表于 2025-3-23 21:34:05
Some Basic Limitations of the Hodrick-Prescott Filter,of information that provides the final estimator, the latter cannot be less efficient. Besides, concurrent estimators, obtained with a one-sided filter, induce phase effects that distort the timing of events and harm early detection of turning points.
图表证明
发表于 2025-3-24 00:57:09
Improving the Hodrick-Prescott Filter,or for the last quarters implies, in turn, a poor performance in early detection of turning points. Furthermore, as was just mentioned, direct inspection of Figure 5.3 shows another limitation of the HP filter: the cyclical signal it provides seems rather uninformative. Seasonal variation has been r
贵族
发表于 2025-3-24 03:03:48
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hypnotic
发表于 2025-3-24 09:38:05
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情感脆弱
发表于 2025-3-24 13:22:41
https://doi.org/10.1007/978-1-4613-0129-5Stochastic Processes; calculus; correlation; time series; time series analysis
Offstage
发表于 2025-3-24 16:33:14
Hodrick-Prescott Filtering Within a Model-Based Approach,What we have suggested in the previous section is to estimate the cycle in steps. First, the AMB method is used to obtain the trend-cycle estimator . (i.e., the noise-free SA series). In a second step, the HP filter is applied to ..
否认
发表于 2025-3-24 19:01:06
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上腭
发表于 2025-3-25 02:25:22
Detrending and the Hodrick-Prescott Filter, e.g., Otnes and Enochson (1978)). The filters are typically expressed by means of the sine or tangent functions. For the sine-type case, the filter is represented, in the frequency domain, by its gain function which, for the two-sided filter, is given by