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Matrix Formulas for Nonstationary Signal Extraction

Tucker McElroy

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ABSTRACT

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.

CITATION:

Source: U.S. Census Bureau, Statistical Research Division

Created: June 9, 2005
Last revised: June 9, 2005


Source: U.S. Census Bureau | Statistical Research Division | (301) 763-3215 (or chad.eric.russell@census.gov) |   Last Revised: October 08, 2010