Analysis of average value of a Fourier series using z-transform: comparison with Hodrick-Prescott filter

Ksovim Minskya

MPRA Paper from University Library of Munich, Germany

Abstract: This paper develops a method of analyzing average value of a complex-valued function that can be represented as a Fourier series satisfying a few realistic restrictions. This method may be useful when Discrete Fourier transform is highly inefficient, and comparison with Hodrick-Prescott filter is made.

Keywords: filtering; time series; hodrick-prescott; z-transform; average value; linear trend (search for similar items in EconPapers)
JEL-codes: C19 C49 C59 C69 E32 (search for similar items in EconPapers)
Date: 2016-06-01
New Economics Papers: this item is included in nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/71908/1/MPRA_paper_71908.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71745

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