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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)

Abstract

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.

Keywords

Good Linear Unbiased Predictor Seasonal Adjustment Local Linear Model Good Linear Unbiased Predictor Fidelity Criterion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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