Abstract
Numerous contexts in macroeconomics, finance, and quality control require real-time estimation of trends, turning points, and anomalies. The real-time signal extraction problem is formulated as a multivariate linear prediction problem, the optimal solution is presented in terms of a known model, and multivariate direct filter analysis is proposed to address the more typical situation where the process’ model is unknown. It is shown how general constraints – such as level and time shift constraints – can be imposed on a concurrent filter in order to guarantee that real-time estimates have requisite properties. The methodology is applied to petroleum and construction data.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
