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Comparison of time series response factor estimators

✍ Scribed by G. Hong; A.D. Irving; T. Dewson; B. Day

Book ID
108006587
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
609 KB
Volume
20
Category
Article
ISSN
0378-7788

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## Abstract We propose to decompose a financial time series into trend plus noise by means of the exponential smoothing filter. This filter produces statistically efficient estimates of the trend that can be calculated by a straightforward application of the Kalman filter. It can also be interprete