No. 423: Filters for Short Nonstationary Sequences
Stephen Pollock ,
Queen Mary, University of London
October 1, 2000
This paper describes a methodology for implementing bidirectional frequency-selective filters in cases where the data sequence is short and nonstationary. A simple method is proposed for dealing with the start-up problem. The method has a firm theoretical basis and it is computationally efficient.
J.E.L classification codes: C22
Keywords:Signal extraction, Linear Filtering, Frequency-domain analysis, Trend estimation