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Improved Frequency-selective Filters

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Author Info
Stephen Pollock (Queen Mary, University of London)

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Abstract

This paper gives an account of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary. The designs are based on the Wiener-Kolmogorov theory of signal extraction which employs a statistical model of the processes generating the data. The statistical model may be regarded as an heuristic device which is designed with a view to ensuring that the resulting signal-extraction filters have certain preconceived properties.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp449.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 449.

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Date of creation: Dec 2001
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Handle: RePEc:qmw:qmwecw:wp449

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Related research
Keywords: Signal extraction; Linear filtering; Filter design; Trend estimation; Frequency-domain 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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