School of Economics and Finance

No. 449: Improved Frequency-selective Filters

Stephen Pollock , Queen Mary, University of London

December 1, 2001

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This paper gives an account 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.

J.E.L classification codes: C22

Keywords:Signal extraction, Linear filtering, Filter design, Trend estimation, Frequency-domain analysis