Signal extraction from nonstationary time series

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Signal extraction for finite nonstationary time series
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
Signal extraction for nonstationary time series with diverse sampling rules
Signal extraction for non-stationary multivariate time series with illustrations for trend inflation
An iterated parametric approach to nonstationary signal extraction

Cited in

(57)

The effect of seasonal adjustment filters on tests for a unit root (with discussion)
Computing the mean square error of unobserved components extracted by misspecified time series models
Minimax interpolation of sequences with stationary increments and cointegrated sequences
A Beveridge-Nelson smoother.
A review of some modern approaches to the problem of trend extraction
Optimal signal extraction with correlated components
Signal extraction for nonstationary time series with diverse sampling rules
scientific article; zbMATH DE number 2086351 (Why is no real title available?)
Selection between models through multi-step-ahead forecasting
Time series modeling and decomposition
Modelled approximations to the ideal filter with application to GDP and its components
A recursive approach for estimating missing observations in an univariate time series
Minimax interpolation of stochastic processes with stationary increments from observations with noise
Time series smoothing by penalized least squares
Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
Trends cycles and seasons: econometric methods of signal extraction
A nonparametric method for asymmetrically extending signal extraction filters
Linear dynamic harmonic regression
scientific article; zbMATH DE number 1463186 (Why is no real title available?)
A note on minimum mean squared error estimation of signals with unit roots
Signal extraction for finite nonstationary time series
A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
Modeling of time series arrays by multistep prediction or likelihood methods.
Stochastic linear trends. Models and estimators
Estimating the Effect of Parameter Uncertainty in Repeated Sample Surveys
Missing observations in ARIMA models: Skipping approach versus additive outlier approach
Recursive and en-bloc approaches to signal extraction
Distortionary effects of the optimal Hodrick--Prescott filter
Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
Signal extraction in long memory stochastic volatility
Extraction of Signals With Specific Temporal Structure Using Kernel Methods
Forecasting continuous-time processes with applications to signal extraction
Statistical Properties of Model-Based Signal Extraction Diagnostic Tests
Signal extraction for non-stationary multivariate time series with illustrations for trend inflation
Multistep ahead forecasting of vector time series
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
Casting vector time series: algorithms for forecasting, imputation, and signal extraction
Trend estimation and de-trending via rational square-wave filters
A Nonautonomous Equation Discovery Method for Time Signal Classification
Smoothing non-stationary time series using the discrete cosine transform
An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
An iterated parametric approach to nonstationary signal extraction
Nonstationary Signal Decomposition for Dummies
On models and methods for Bayesian time series analysis
Prediction theory for autoregressivemoving average processes
Low frequency filtering and real business cycles
A note on interpolation of arima processes
On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
Optimal real-time filters for linear prediction problems
Estimation error and the specification of unobserved component models
Signal smoothing for score-driven models: a linear approach
A coincident index for the state of the economy
Maximum entropy extreme‐value seasonal adjustment
Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy
Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
Estimating trends with percentage of smoothness chosen by the user
Quadratic prediction of time series via auto-cumulants

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