Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria
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.
KeywordsGood Linear Unbiased Predictor Seasonal Adjustment Local Linear Model Good Linear Unbiased Predictor Fidelity Criterion
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