Filters for Short Non-stationary Sequences
AbstractThis paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and non-stationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient. Copyright © 2001 by John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 20 (2001)
Issue (Month): 5 (August)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
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- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
- Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
- Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
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