Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass by Thomas M. Trimbur, Tucker S. McElroy

Finance and Economics Discussion Series: Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass

Thomas M. Trimbur, Tucker S. McElroy

38 pages • missing pub info (editions)

nonfiction politics
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This paper sets out the theoretical foundations for continuous-time signal extraction in econometrics. Continuous-time modeling gives an effective strategy for treating stock and flow data, irregularly spaced data, and changing frequency of observ...

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