A Unified View of Nonparametric Trend-Cycle Predictors Via Reproducing Kernel Hilbert Spaces

Estelle Dagum and Silvia Bianconcini ()

Econometric Reviews, 2013, vol. 32, issue 7, 848-867

Abstract: We provide a common approach for studying several nonparametric estimators used for smoothing functional time series data. Linear filters based on different building assumptions are transformed into kernel functions via reproducing kernel Hilbert spaces. For each estimator, we identify a density function or second order kernel, from which a hierarchy of higher order estimators is derived. These are shown to give excellent representations for the currently applied symmetric filters. In particular, we derive equivalent kernels of smoothing splines in Sobolev and polynomial spaces. The asymmetric weights are obtained by adapting the kernel functions to the length of the various filters, and a theoretical and empirical comparison is made with the classical estimators used in real time analysis. The former are shown to be superior in terms of signal passing, noise suppression and speed of convergence to the symmetric filter.

Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/07474938.2012.690674

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