Dear All
This week's Statistics Seminar is on Thursday at 14.00 in S4.29, Strand Building. All welcome.
Title: Filters, waves and spectra
Speaker: Stephen Pollock (University of Leicester)
Abstract: Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its emphasis in the frequency domain; and it shows how the frequency-domain methods can be adapted to cater to short trended sequences. Working in the frequency domain allows an unrestricted choice to be made of the frequency response of a filter. It also requires that the data should be free of trends. Methods for extracting the trends prior to filtering and for restoring them thereafter are described.
Best wishes,
Steve
Steven Gilmour
Professor of Statistics
Department of Mathematics
King's College London
Strand | London | WC2R 2LS
UK
Tel +44 (0)20 7848 2698
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