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Technical Note: Trend estimation from irregularly sampled, correlated data
Trend estimation irregularly sampled and correlated data
2010/8/16
Estimation of a trend of an atmospheric state variable is usually performed by fitting a linear regression line to a set of data of this variable sampled at different times. Often these data are irreg...
Trend Estimation and the Hodrick-Prescott Filter
Signal-noise ratios smoothing constant stochastic cycles stochastic trends unobserved components models
2009/3/5
The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing co...