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Filters for Short Nonstationary Sequences

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Author Info
Pollock, D.S.G.

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Abstract

This paper describes a methodology for implementing bidirectional/break frequency-selective filters in cases where the data sequence is short and nonstationary. A sime method is proposed for dealing with start-up problem. The method has a firm theoretical basis and it is computationally efficient.

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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 00a04.

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Length: 17 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:aixmeq:00a04

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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
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Web page: http://www.vcharite.univ-mrs.fr/GREQAM/
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Related research
Keywords: TIME SERIES ; ESTIMATOR ; ECONOMETRICS ; REGRESSION ANALYSIS;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-12-16.


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