Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences

Tommaso Proietti and Alessandra Luati

MPRA Paper from University Library of Munich, Germany

Abstract: The paper concerns the design of nonparametric low-pass filters that have the property of reproducing a polynomial of a given degree. Two approaches are considered. The first is locally weighted polynomial regression (LWPR), which leads to linear filters depending on three parameters: the bandwidth, the order of the fitting polynomial, and the kernel. We find a remarkable linear (hyperbolic) relationship between the cutoff period (frequency) and the bandwidth, conditional on the choices of the order and the kernel, upon which we build the design of a low-pass filter. The second hinges on a generalization of the maximum concentration approach, leading to filters related to discrete prolate spheroidal sequences (DPSS). In particular, we propose a new class of lowpass filters that maximize the concentration over a specified frequency range, subject to polynomial reproducing constraints. The design of generalized DPSS filters depends on three parameters: the bandwidth, the polynomial order, and the concentration frequency. We discuss the properties of the corresponding filters in relation to the LWPR filters, and illustrate their use for the design of low-pass filters by investigating how the three parameters are related to the cutoff frequency.

Keywords: Trend filters; Kernels; Concentration; Filter Design. (search for similar items in EconPapers)
JEL-codes: C14 C22 E32 (search for similar items in EconPapers)
Date: 2009-06-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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