Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as the exact result from direct application of an HP filter to the aggregate series. The present paper show...

Considering the problem of extracting a trend from a time series, we propose a novel approach based on empirical mode decomposition (EMD), called EMD trend filtering. The rationale is that EMD is a completely data-driven technique, which offers the possibility of estimating a trend of arbitrary shape as a sum of low-frequency intrinsic mode functions produced by the EMD. Based on an empirical a...

Robin M Rudd, Robin J Prescott, J C Chalmers, Ian D A Johnston, for the Fibrosing Alveolitis Subcommittee of the Research Committee of the British Thoracic Society . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ....

The Hodrick-Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications – such as deriving implied trend and cycle models and obtaining filter weights – it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of th...

Land cover/land use categories are relevant components in land management. Understanding how land cover/land use change over time is necessary to assess the consequences of humans and natural stressors on the earth’s environment and resources. The aim of the study was to map and monitor the spatial and temporal change in land cover/land use for the periods of 1977, 1991 and 2016 and to predict ...

Bilateral contract transaction among generation companies and large consumers is attracting much attention in the electricity market. A large consumer can purchase energy from generation companies directly under a bilateral contract, which can guarantee the economic interests of both sides. However, in pursuit of more profit, the competitions in the transaction exist not only between the compan...

Abstract Hodrick–Prescott (HP) filter is a popular trend filtering method for univariate macroeconomic time series such as real gross domestic product. This paper considers the quantile regression version of HP (qHP filter), which defined by replacing quadratic loss function with function. One essential properties that if includes intercept, then ratio negative residuals can be almost controlle...

The past year has been incredibly challenging. That sentence seems so simple and oversimplified. Yet, it is the elephant in room that we have to acknowledge all aspects of life these days. It easiest way summarize our lives since last gathered for a Prescott Lecture. For many us, year’s American Pharmacists Association Annual Meeting was first virtual meeting experience. We did not know would b...