The paper provides general matrix formulas for minimum mean squared error signal extraction, for a finitely sampled time series whose signal and noise components are nonstationary ARIMA processes. These formulas are quite practical; as well as being simple to implement on a computer, they make it possible to easily derive important general properties of the signal extraction filters. We also extend these formulas to estimates of future values of the unobserved signal, and show how this result combines signal extraction and forecasting.
This symbol indicates a link to a non-government web site. Our linking to these sites does not constitute an endorsement of any products, services or the information found on them. Once you link to another site you are subject to the policies of the new site.