An omnibus noise filter (Q964661)
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scientific article; zbMATH DE number 5697320
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An omnibus noise filter |
scientific article; zbMATH DE number 5697320 |
Statements
An omnibus noise filter (English)
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22 April 2010
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A noise filtering algorithm is proposed based on flexible least squares (FLS) estimation (i.e., minimization of penalized least squares). A sequential updating procedure is presented for the solution of the minimization problem. The FLS is compared to Kalman filtering and Wiener-Kolmogorov filtering via simulations for stationary and nonstationary short- and long-memory processes with and without structural breaks. An application to some exchange rates data is presented.
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flexible least squares
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Kalman filter
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long memory
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