Statistics seminar 2019 - “Filters, Waves and Spectra"

  • Data: 15 marzo 2019 dalle 14:30 alle 15:30

  • Luogo: Dipartimento di Scienze Statistiche - via delle Belle Arti 41 - Aula I - piano terra

Stephen Pollock - University of Leicester


Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its emphasis in the frequency domain; and it shows how the frequency-domain methods can be adapted to cater to short trended sequences. Working in the frequency domain allows an unrestricted choice to be made of the frequency response of a filter. It also requires that the data should be free of trends. Methods for extracting the trends prior to filtering and for restoring them thereafter are described.

Alessandra Luati

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