Artikel
Some results on ℓ1 polynomial trend filtering
ℓ1 polynomial trend filtering, which is a filtering method described as an ℓ1-norm penalized least-squares problem, is promising because it enables the estimation of a piecewise polynomial trend in a univariate economic time series without prespecifying the number and location of knots. This paper shows some theoretical results on the filtering, one of which is that a small modification of the filtering provides not only identical trend estimates as the filtering but also extrapolations of the trend beyond both sample limits.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 6 ; Year: 2018 ; Issue: 3 ; Pages: 1-10 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
ℓ1 trend filtering
Hodrick–Prescott filtering
Whittaker–Henderson method of graduation
Lasso regression
basis pursuit denoising
total variation denoising
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yamada, Hiroshi
Du, Ruixue
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2018
- DOI
-
doi:10.3390/econometrics6030033
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Yamada, Hiroshi
- Du, Ruixue
- MDPI
Entstanden
- 2018
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