## 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
β¦ LIBER β¦
Estimation of trend and expectation of periodically correlated time series
β Scribed by V. G. Alekseev
- Book ID
- 111508423
- Publisher
- Allerton Press, Inc.
- Year
- 2010
- Tongue
- English
- Weight
- 80 KB
- Volume
- 35
- Category
- Article
- ISSN
- 1068-3739
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