Improved frequency selective filters

Authors:
D. S. G. Pollock
Affiliations:
Department of Economics, Queen Mary College, University of London, Mile End Road, London E1 4NS, UK
Venue:
Computational Statistics & Data Analysis - Special issue: Computational econometrics
Year:
2003

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Abstract

An account is given of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary. The designs are based on the Wiener-Kolmogorov theory of signal extraction which employs a statistical model of the processes generating the data. The statistical model may be regarded as an heuristic device which is designed with a view to ensuring that the resulting signal-extraction filters have certain preconceived properties.