Signal extraction for nonstationary time series with diverse sampling rules

DOI10.1515/JTSE-2014-0026zbMATH Open1499.62325OpenAlexW2343541599MaRDI QIDQ1695679FDOQ1695679

Authors: Tucker S. McElroy, Thomas M. Trimbur 

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2014-0026

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zbMATH Keywords

turning pointstrendslow-pass filterscontinuous time modelsHodrick-Prescott

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• INITIALIZING THE KALMAN FILTER FOR NONSTATIONARY TIME SERIES MODELS
• Forecasting continuous-time processes with applications to signal extraction
• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
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• On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
• A review of some modern approaches to the problem of trend extraction

Cited In (9)

• A robust-filtering method for noisy non-stationary multivariate time series with econometric applications
• An iterated parametric approach to nonstationary signal extraction
• Title not available (Why is that?)
• Signal extraction for finite nonstationary time series
• A Nonautonomous Equation Discovery Method for Time Signal Classification
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Signal extraction from nonstationary time series
• Signal extraction for non-stationary multivariate time series with illustrations for trend inflation
• Model estimation, prediction, and signal extraction for nonstationary stock and flow time series observed at mixed frequencies

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