Optimal Signal Extraction with Stable Shocks: The Case of U.S. Inflation

1996 ◽  
Author(s):  
Prasad V. Bidarkota ◽  
J. Huston Mcculloch
Keyword(s):  
Signal Extraction ◽  
Optimal Signal

Optimal Signal Extraction with Correlated Components

2014 ◽  
Vol 6 (2) ◽  
pp. 237-273 ◽  
Author(s):  
Tucker S. McElroy ◽  
Agustin Maravall
Keyword(s):  
Signal Extraction ◽  
Economic Time Series ◽  
Systematic Treatment ◽  
Finite Samples ◽  
Economic Time ◽  
The Mean ◽  
Phase Functions ◽  
Component Models ◽  
Correlated Components ◽  
Optimal Signal

AbstractWhile it is typical in the econometric signal extraction literature to assume that the unobserved signal and noise components are uncorrelated, there is nevertheless an interest among econometricians in the hypothesis of hysteresis, i.e. that major movements in the economy are fundamentally linked. While specific models involving correlated signal and noise innovation sequences have been developed and applied using state space methods, there is no systematic treatment of optimal signal extraction with correlated components. This paper provides the mean square error optimal formulas for both finite samples and bi-infinite samples and furthermore relates these filters to the more well-known Wiener–Kolmogorov (WK) and Beveridge–Nelson (BN) signal extraction formulas in the case of ARIMA component models. Then we obtain the result that the optimal filter for correlated components can be viewed as a weighted linear combination of the WK and BN filters. The gain and phase functions of the resulting filters are plotted for some standard cases. Some discussion of estimation of hysteretic models is presented, along with empirical results on an economic time series. Comparisons are made between signal extractions from traditional WK filters and those arising from the hysteretic models.

scholarly journals Toward Optimal Signal Extraction for Imaging X-Ray Polarimetry

2021 ◽  
Vol 920 (1) ◽  
pp. 40
Author(s):  
A. L. Peirson ◽  
Roger W. Romani
Keyword(s):  
Signal Extraction ◽  
X Ray ◽  
Optimal Signal

A new method of fluxgate signal extraction

2017 ◽  
Vol 2017 (45) ◽  
pp. 83-89
Author(s):  
A.A. Marusenkov ◽  
Keyword(s):  
High Frequency ◽  
Second Harmonic ◽  
Excitation Frequency ◽  
Low Noise ◽  
Measuring System ◽  
Signal Extraction ◽  
Fluxgate Magnetometer ◽  
New Approach ◽  
Average Value ◽  
The Time Domain

Using dedicated high-frequency measuring system the distribution of the Barkhausen jumps intensity along a reversal magnetization cycle was investigated for low noise fluxgate sensors of various core shapes. It is shown that Barkhausen (reversal magnetization) noise intensity is strongly inhomogeneous during an excitation cycle. In the traditional second harmonic fluxgate magnetometers the signals are extracted in the frequency domain, as a result, some average value of reversal magnetization noises is contributed to the output signals. In order to fit better the noise shape and minimize its transfer to the magnetometer output the new approach for demodulating signals of these sensors is proposed. The new demodulating method is based on information extraction in the time domain taking into account the statistical properties of cyclic reversal magnetization noises. This approach yields considerable reduction of the fluxgate magnetometer noise in comparison with demodulation of the signal filtered at the second harmonic of the excitation frequency.

scholarly journals Circulant Singular Spectrum Analysis to Monitor the State of the Economy in Real Time

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1169
Author(s):  
Juan Bógalo ◽  
Pilar Poncela ◽  
Eva Senra
Keyword(s):  
Business Cycles ◽  
Real Time ◽  
Parametric Method ◽  
Singular Spectrum Analysis ◽  
The State ◽  
Signal Extraction ◽  
Alternative Procedure ◽  
State Of The Economy ◽  
Regular Patterns ◽  
Non Parametric

Real-time monitoring of the economy is based on activity indicators that show regular patterns such as trends, seasonality and business cycles. However, parametric and non-parametric methods for signal extraction produce revisions at the end of the sample, and the arrival of new data makes it difficult to assess the state of the economy. In this paper, we compare two signal extraction procedures: Circulant Singular Spectral Analysis, CiSSA, a non-parametric technique in which we can extract components associated with desired frequencies, and a parametric method based on ARIMA modelling. Through a set of simulations, we show that the magnitude of the revisions produced by CiSSA converges to zero quicker, and it is smaller than that of the alternative procedure.

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