ON THE SPECTRAL PROPERTIES OF MATRICES ASSOCIATED WITH TREND FILTERS

B-Tier
Journal: Econometric Theory
Year: 2010
Volume: 26
Issue: 4
Pages: 1247-1261

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This note is concerned with the spectral properties of matrices associated with linear smoothers. We derive analytical results on the eigenvalues and eigenvectors of smoothing matrices by interpreting the latter as perturbations of matrices belonging to algebras with known spectral properties, such as the circulant and the generalized tau. These results are used to characterize the properties of a smoother in terms of an approximate eigen-decomposition of the associated smoothing matrix.

Technical Details

RePEc Handle
repec:cup:etheor:v:26:y:2010:i:04:p:1247-1261_99
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29