Recursive and en-bloc approaches to signal extraction

DOI10.1080/02664769922692MaRDI QIDQ4935568zbMATH OpenOpenAlexWikidataFDO

Authors Diego J. Pedregal, Peter Young

Publication date 31 October 2000

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664769922692

zbMATH Keywords

regularizationsignal extractionsmoothing filtersfixed interval smoothingFIS algorithms

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cites work

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• A systems approach to recursive economic forecasting and seasonal adjustment
• An ARIMA-Model-Based Approach to Seasonal Adjustment
• Bayesian forecasting and dynamic models
• Evaluation of likelihood functions for Gaussian signals
• Recursive estimation and time-series analysis. An introduction
• SEASONAL ADJUSTMENT BY A BAYESIAN MODELING
• Seasonal Adjustment by Signal Extraction
• Signal extraction from nonstationary time series
• Stochastic linear trends. Models and estimators

Cited in

(19)

• Non-linear system modelling based on non-parametric identification and linear wavelet estimation of SDP models
• Econometric methods of signal extraction
• Prediction error identification of linear systems: a nonparametric Gaussian regression approach
• Signal extraction and the formulation of unobserved components models
• Estimating trends with percentage of smoothness chosen by the user
• Identification of non-linear stochastic systems by state dependent parameter estimation
• Using recursive algorithms for the efficient identification of smoothing spline ANOVA models
• Regularization aspects in continuous-time model identification
• scientific article; zbMATH DE number 1917622 (Why is no real title available?)
• Linear dynamic harmonic regression
• Editorial: The third special issue on statistical signal extraction and filtering
• Statistical signal extraction using stable processes
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
• Single and multiple error state-space models for signal extraction
• Signal extraction and filtering by linear semiparametric methods
• A review of some modern approaches to the problem of trend extraction
• Bicoid signal extraction: another powerful approach
• Forecasting continuous-time processes with applications to signal extraction

Describes a project that uses

Uses Software

• STAMP
• KernSmooth

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