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.
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© 1996 Springer-Verlag New York, Inc.
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Gray, A., Thomson, P. (1996). Design of Moving-Average Trend Filters using Fidelity and Smoothness Criteria. In: Robinson, P.M., Rosenblatt, M. (eds) Athens Conference on Applied Probability and Time Series Analysis. Lecture Notes in Statistics, vol 115. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-2412-9_15
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DOI: https://doi.org/10.1007/978-1-4612-2412-9_15
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-94787-7
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