Matrix Formulas for Nonstationary Signal Extraction
Tucker McElroy · 2005
The paper provides general matrix formulas for extraction of a nonstationary signal in nonstationary noise, for a finitely sampled time series. These formulas are quite practical, in that they provide a ready intuition for the filtering operation, as well as being simple to implement on a computer. Applications to signal extraction diagnostics are discussed. Disclaimer This report is released to inform interested parties of research and to encourage discussion. The views expressed on statistical issues are those of the author and not necessarily those of the U.S. Census Bureau.