Improved Frequency-selective Filters

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 449, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Signal extraction; Linear filtering; Filter design; Trend estimation; Frequency-domain analysis (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2001-12-01
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:449

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