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A Three-Pole Filter Understanding of the Average Value of a Fourier Series and Comparison with Hodrick-Prescott Filter
Minskya, Ksovim - 2016
This paper develops a method of analyzing average value of a complex-valued function that can be represented as a Fourier series satisfying a few realistic restrictions. This method may be useful when Discrete Fourier transform is highly inefficient, and comparison with Hodrick-Prescott filter...
Persistent link: https://www.econbiz.de/10014127062
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Linear filters : a survey
Pollock, David Stephen G. - 1994
Persistent link: https://www.econbiz.de/10000148066
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Applied time series analysis of economic data
Zellner, Arnold (ed.) - 1983
Persistent link: https://www.econbiz.de/10000057236
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An application of the stochastic garch in mean model to risk premia in the London metal exchange
Hall, Stephen G. - 1990
Persistent link: https://www.econbiz.de/10000130882
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Stationary random processes
Rozanov, Jurij A. - 1967
Persistent link: https://www.econbiz.de/10000040911
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Dynamic feature space modelling, filtering and self-tuning control of stochastic systems
Otter, Pieter Wieger - 1984
Persistent link: https://www.econbiz.de/10000015907
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On estimating a dynamic function of a stochastic system with averaging
Liptser, R.; Spokojnyj, Vladimir G. - 1998
Persistent link: https://www.econbiz.de/10000168629
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The econometric modelling of financial time series
Mills, Terence C. - 1994 - Reprinted
Persistent link: https://www.econbiz.de/10000905318
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Modeling long-memory stochastic volatility
DeLima, Pedro J. F.; Breidt, F. Jay; Crato, Nuno - 1994
Persistent link: https://www.econbiz.de/10000908766
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Spectral analysis cannot tell a macro-econometrician whether his time series came from a stochastic economy or a deterministic economy
Brock, William A.; Chamberlain, Gary - 1984
Persistent link: https://www.econbiz.de/10000911858