Three equivalent methods for filtering finite nonstationary time series

Journal of Business and Economic Statistics

Volumn 17, Issue 1, 1999, Pages 109-116

  Gómez, Victor ^a  

^a Ministry of Economy and Finance   (Spain)

Author keywords

ARIMA components model; Kalman filter; Penalized least squares smoothing; Signal extraction; Smoothing; Wiener Kolmogorov filters

Indexed keywords

EID: 0040960779     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1999.10524800     Document Type: Article

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