## 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
Trend analysis: Time series and point process problems
β Scribed by David R. Brillinger
- Publisher
- John Wiley and Sons
- Year
- 1994
- Tongue
- English
- Weight
- 797 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1180-4009
No coin nor oath required. For personal study only.
β¦ Synopsis
Abstract
The concern is with trend analysis. The data may be time series or point process. Parametric, semiβparametric and nonβparametric models and procedures are discussed. The problems and techniques are illustrated with examples taken from hydrology and seismology. There is review as well as some new analyses and proposals.
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