The 287th Meeting of Hiroshima Statistics Study Group

Day & Time
28st November 2014, 15:00~
RERF Hijiyama Hall
Hiroshi Yamada, Ph.D., Professor of Hiroshima University, Leader of the SSRC

Presentation Title
Selecting the Tuning Parameter of the l1 Trend Filter
The l1 trend filter, which is similar to the popular Hodrick-Prescott (HP) filter, seems to be quite promising because it enables us to estimate a piecewise linear trend without specifying the location and number of kink points a priori. Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. Similarly to the HP filter, the value of the tuning parameter needs to be selected in applying this filter. In this talk we propose a method for selecting the tuning parameter of the l1 trend filter and its generalization.
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