Filters for Short Non-stationary Sequences

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Filters for Short Non-stationary Sequences

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Pollock, D S G

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David Stephen Pollock

Abstract

This 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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Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 20 (2001)
Issue (Month): 5 (August)
Pages: 341-55
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Handle: RePEc:jof:jforec:v:20:y:2001:i:5:p:341-55

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Paper
- Stephen Pollock, 2000. "Filters for Short Nonstationary Sequences," Working Papers 423, Queen Mary, University of London, Department of Economics. [Downloadable!]
- Pollock, D.S.G., 2000. "Filters for Short Nonstationary Sequences," G.R.E.Q.A.M. 00a04, Universite Aix-Marseille III.

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