Signal extraction from nonstationary time series

Cited In (57)

Signal smoothing for score-driven models: a linear approach
Estimating trends with percentage of smoothness chosen by the user
Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation
Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy
A coincident index for the state of the economy
Quadratic prediction of time series via auto-cumulants
Maximum entropy extreme‐value seasonal adjustment
Stochastic linear trends. Models and estimators
Casting vector time series: algorithms for forecasting, imputation, and signal extraction
An application of the TRAMO-SEATS automatic procedure; direct versus indirect adjustment
An iterated parametric approach to nonstationary signal extraction
Low frequency filtering and real business cycles
Estimation error and the specification of unobserved component models
On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
A nonparametric method for asymmetrically extending signal extraction filters
Title not available (Why is that?)
A note on minimum mean squared error estimation of signals with unit roots
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
A note on interpolation of arima processes
Minimax interpolation of stochastic processes with stationary increments from observations with noise
Signal extraction for finite nonstationary time series
Distortionary effects of the optimal Hodrick--Prescott filter
A Beveridge-Nelson smoother.
Linear dynamic harmonic regression
Prediction theory for autoregressivemoving average processes
Title not available (Why is that?)
A PROTOTYPICAL SEASONAL ADJUSTMENT MODEL
Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences
On models and methods for Bayesian time series analysis
A recursive approach for estimating missing observations in an univariate time series
Recursive and en-bloc approaches to signal extraction
A Review of Some Modern Approaches to the Problem of Trend Extraction
Smoothing non-stationary time series using the discrete cosine transform
Time series modeling and decomposition
A Nonautonomous Equation Discovery Method for Time Signal Classification
Selection between models through multi-step-ahead forecasting
Modelled approximations to the ideal filter with application to GDP and its components
Trends cycles and seasons: Econometric methods of signal extraction
Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation
Computing the mean square error of unobserved components extracted by misspecified time series models
Minimax interpolation of sequences with stationary increments and cointegrated sequences
Multistep ahead forecasting of vector time series
Time-dependent frequency domain principal components analysis of multichannel non-stationary signals
Modeling of time series arrays by multistep prediction or likelihood methods.
Missing observations in ARIMA models: Skipping approach versus additive outlier approach
Extraction of Signals With Specific Temporal Structure Using Kernel Methods
Nonstationary Signal Decomposition for Dummies
Optimal signal extraction with correlated components
Signal extraction for nonstationary time series with diverse sampling rules
Estimating the Effect of Parameter Uncertainty in Repeated Sample Surveys
Trend estimation and de-trending via rational square-wave filters
Time series smoothing by penalized least squares
Statistical Properties of Model-Based Signal Extraction Diagnostic Tests
Optimal real-time filters for linear prediction problems
SIGNAL EXTRACTION IN LONG MEMORY STOCHASTIC VOLATILITY
Forecasting continuous-time processes with applications to signal extraction

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