Signal extraction for nonstationary time series with diverse sampling rules

DOI10.1515/jtse-2014-0026zbMath1499.62325OpenAlexW2343541599MaRDI QIDQ1695679

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

zbMATH Keywords

turning pointscontinuous time modelstrendslow-pass filtersHodrick-Prescott

Mathematics Subject Classification ID

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

Cites Work

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• Array algorithms for H/sup ∞/ estimation
• Representations of continuous-time ARMA processes
• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
• A Review of Some Modern Approaches to the Problem of Trend Extraction
• Lévy-driven CARMA processes

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