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WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION

Published online by Cambridge University Press:  06 December 2006

D.S.G. Pollock
Affiliation:
University of London

Abstract

Adaptations of the classical Wiener–Kolmogorov filters are described that enable them to be applied to short nonstationary sequences. Alternative filtering methods that operate in the time domain and the frequency domain are described. The frequency-domain methods have the advantage of allowing components of the data to be separated along sharp dividing lines in the frequency domain, without incurring any leakage. The paper contains a novel treatment of the start-up problem that affects the filtering of trended data sequences.

Type
Research Article
Copyright
© 2007 Cambridge University Press

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References

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WIENER–KOLMOGOROV FILTERING, FREQUENCY-SELECTIVE FILTERING, AND POLYNOMIAL REGRESSION
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