A0369
Title: A consistent estimator of the smoothing operator in the functional Hodrick-Prescott filter
Authors: Hiba Nassar - Lund University (Sweden) [presenting]
Abstract: A version of the functional Hodrick-Prescott filter for functional time series is presented. We show that the associated optimal smoothing operator preserves the noise-to-signal ratio structure. Moreover, as the main result, we propose a consistent estimator of this optimal smoothing operator.
