Measurement of a wandering signal amid noise
Keyword(s):
A formula is given for the response function of a filter which extracts a signal generated by a non-stationary process from amid noise. The non-stationarity is due to the presence of zeros on the unit circle of the function characterising the difference equation generating the signal. The signal is broken into a trend component and a stochastic integral in which t occurs only through the factor exp it λ and it is shown that the filter which optimally extracts the latter perfectly represents the former. The considerations cover the case of a vector series. Applications to problems in seasonal variation measurement are indicated.
1967 ◽
Vol 4
(01)
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pp. 90-102
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Keyword(s):
2018 ◽
Vol 25
(9-10)
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pp. 1255-1269
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2004 ◽
Vol 69
(3)
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pp. 519-528
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2012 ◽
Vol 218
(11)
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pp. 6291-6296
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2001 ◽
Vol 47
(7)
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pp. 4623-4634
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2007 ◽
Vol 325
(2)
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pp. 1491-1494
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