Filters for Short Non-stationary Sequences

David Pollock ()

Journal of Forecasting, 2001, vol. 20, issue 5, 341-55

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.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:20:y:2001:i:5:p:341-55

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