Hodrick-Prescott filter

Algorithm for choosing smoothed values for a time series. The H-P filter chooses smooth values {st} for the series {xt} of T elements (t=1 to T) that solve the following minimization problem: min { {(xt-st)2 ... etc. } Parameter l>0...
Found on http://www.econterms.com/glossary.cgi?query=Hodrick-Prescott+filter
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