This paper provides general matrix formulas for extraction of a nonstationary signal in nonstationary noise, for a finitely sampled time series. These formulas are quite practical, in that they provide a ready intuition for the filtering operation as well as being simple to implement on a computer. Applications to signal extraction diagnostics are discussed.
Source: U.S. Census Bureau, Statistical Research Division
Created: June 9, 2005
Last revised: June 9, 2005