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/lp/de-gruyter/a-new-method-for-specifying-the-tuning-parameter-of-1-trend-filtering-ZDQPssN8zk
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- Publisher
- de Gruyter
- Copyright
- ©2018 Walter de Gruyter GmbH, Berlin/Boston
- ISSN
- 1558-3708
- eISSN
- 1558-3708
- DOI
- 10.1515/snde-2016-0073
- Publisher site
- See Article on Publisher Site
Abstract
AbstractBecause Hodrick–Prescott (HP) filtering and ℓ1 trend filtering are expressed as penalized least squares problem, both of them require the specification of their tuning parameter. For HP filtering, we have accumulated knowledge for selecting the value of its tuning parameter. However, we do not have similar knowledge for ℓ1 trend filtering. This paper presents a new method for specifying the tuning parameter of ℓ1 trend filtering so that the sum of squared residuals of HP filtering and that of ℓ1 trend filtering may be equivalent.
Journal
Studies in Nonlinear Dynamics & Econometrics – de Gruyter
Published: Sep 25, 2018