The Band pass filter

Preprint
Publisher Website
Google Scholar
    • preprint
      • Published in RePEc
Abstract
The \\"ideal\\" band-pass filter can be used to isolate the component of a time series that lies within a particular band of frequencies, but applying this filter requires a data set of infinite length. In practice, some sort of approximation is needed. Using projections, the authors derive approximations that are optimal when the time-series representations underlying the raw data have a unit root, or are stationary about a trend.
All Related Versions

This publication has 0 references indexed in Scilit: