The book provides deep insights into the signal extraction problem - especially at the boundary of a sample, where asymmetric filters must be used - and how to solve it optimally. The traditional model-based approach (TRAMO/SEATS or X-12-ARIMA) is an inefficient estimation method because it...

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...