A New Method for Specifying the Tuning Parameter of ℓ1 Trend Filtering

Yamada Hiroshi ()
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Yamada Hiroshi: Hiroshima University, Graduate School of Social Sciences, 1-2-1 Kagamiyama, Higashi-Hiroshima 739-8525, Japan

Studies in Nonlinear Dynamics & Econometrics, 2018, vol. 22, issue 4, 8

Abstract: Because 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.

Keywords: constrained minimization; Hodrick–Prescott filtering; ℓ1 trend filtering; tuning parameter (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/snde-2016-0073

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