Recursive and en-bloc approaches to signal extraction.

Young, Peter C. and Pedregal, D. (1999) Recursive and en-bloc approaches to signal extraction. Journal of Applied Statistics, 26 (1). pp. 103-128. ISSN 1360-0532

Full text not available from this repository.


In the literature on unobservable component models , three main statistical instruments have been used for signal extraction: fixed interval smoothing (FIS), which derives from Kalman's seminal work on optimal state-space filter theory in the time domain; Wiener-Kolmogorov-Whittle optimal signal extraction (OSE) theory, which is normally set in the frequency domain and dominates the field of classical statistics; and regularization , which was developed mainly by numerical analysts but is referred to as 'smoothing' in the statistical literature (such as smoothing splines, kernel smoothers and local regression). Although some minor recognition of the interrelationship between these methods can be discerned from the literature, no clear discussion of their equivalence has appeared. This paper exposes clearly the interrelationships between the three methods; highlights important properties of the smoothing filters used in signal extraction; and stresses the advantages of the FIS algorithms as a practical solution to signal extraction and smoothing problems. It also emphasizes the importance of the classical OSE theory as an analytical tool for obtaining a better understanding of the problem of signal extraction.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Applied Statistics
Uncontrolled Keywords:
ID Code:
Deposited By:
Deposited On:
05 Feb 2009 15:02
Last Modified:
14 Sep 2023 23:42