WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION

DOI10.1017/S026646660707003XzbMath1441.62841OpenAlexW2069465606MaRDI QIDQ4562556

D. Stephen G. Pollock

Publication date: 21 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646660707003x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Trends cycles and seasons: Econometric methods of signal extraction ⋮ Trend filtering via empirical mode decompositions ⋮ A Review of Some Modern Approaches to the Problem of Trend Extraction

Cites Work

• Trend estimation and de-trending via rational square-wave filters
• Circulant matrices and time-series analysis
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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