Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem

In this paper, we portray the essential features of the finite-sample signal extraction problem in both the stationary and the nonstationary cases. The computational procedures can be simplified in the light of our analysis. An important outcome of the analysis is a demonstration that the start-up problem can be handled far more easily that one might expect from a passing acquaintance with the usual practices.

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Year of publication:	2001-02
Authors:	Pollock, Stephen
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Signal extraction \| Linear filtering \| Trend estimation

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 433
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005113453