Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria

  • Alistair Gray
  • Peter Thomson
Part of the Lecture Notes in Statistics book series (LNS, volume 115)


The development of a flexible family of finite moving-average filters from specified smoothness and fidelity criteria is considered. These filters are based on simple dynamic models operating locally within the span of the filter. They are shown to generalise and extend the standard Macaulay and Henderson filters used in practice. The properties of these filters are determined and evaluated both in theory and in practice.


Good Linear Unbiased Predictor Seasonal Adjustment Local Linear Model Good Linear Unbiased Predictor Fidelity Criterion 
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Copyright information

© Springer-Verlag New York, Inc. 1996

Authors and Affiliations

  • Alistair Gray
    • 1
  • Peter Thomson
    • 1
  1. 1.Victoria UniversityWellingtonNew Zealand

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