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Signal Extraction for Nonstationary Time Series

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Signal Extraction for Nonstationary Time Series

Written by:
RR82-01

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The signal extraction problem in time series is to estimate st given observations on zt=st+nt (signal plus noise). The solution when st and nt are stationary is well known, having been first obtained independently by Kolmogorov and Wiener in the 1940's.

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Page Last Revised - October 28, 2021