The Explicit Formula for the Hodrick-Prescott Filter in a Finite Sample
推导了有限样本下Hodrick-Prescott滤波器权重的精确表达式，无需对时间序列的统计性质做任何假设，并基于此构建了计算速度提升最多三倍的快速算法。
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in a finite sample without making any assumptions about the statistical properties of the time series. We use the results to give insights into the properties of the HP filter and to build a fast algorithm with computational improvements by a factor of up to three times in samples typical in economics.