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A new method for specifying the tuning parameter of l1 trend filtering
Yamada, Hiroshi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10011965278
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Selecting the tuning parameter of the l1 trend filter
Yamada, Hiroshi; Yoon, Gawon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 97-105
Persistent link: https://www.econbiz.de/10011431307
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An explicit formula for the smoother weights of the Hodrick-Prescott filter
Yamada, Hiroshi; Jahra, Fatima Tuj - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-10
Persistent link: https://www.econbiz.de/10012198467