Wiener-Kolmogorov filtering, frequency-selective filtering, and polynomial regression

被引：12
|
作者：
Pollock, D. S. G. [1 ]
机构：
[1] Univ London Queen Mary Coll, Dept Econ, London E1 4NS, England
来源：
ECONOMETRIC THEORY | 2007年 / 23卷 / 01期
关键词：
D O I：
10.1017/S026646660707003X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Adaptations of the classical Wiener-Kolmogorov filters are described that enable them to be applied to short nonstationary sequences. Alternative filtering methods that operate in the time domain and the frequency domain are described. The frequency-domain methods have the advantage of allowing components of the data to be separated along sharp dividing lines in the frequency domain, without incurring any leakage. The paper contains a novel treatment of the start-up problem that affects the filtering of trended data sequences.
引用
收藏
页码：71 / 88
页数：18
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