Alternative methods of trend extraction and of seasonal adjustment are described that operate in the time domain and in the frequency domain. The time-domain methods that are implemented in the TRAMO–SEATS and the STAMP programs are described and compared. An abbreviated time-domain method of...

This paper gives an account of some techniques for designing recursive frequency-selective filters which can be applied to data sequences of limited duration which may be nonstationary. The designs are based on the Wiener-Kolmogorov theory of signal extraction which employs a statistical model...

The Wiener-Kolmogorov signal extraction filters, which are widely used in econometric analysis, are constructed on the basis of statistical models of the processes generating the data. In this paper, such models are used mainly as heuristic devices that are to be specified in whichever ways are...

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...