The filter tag has no wiki summary.
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1answer
46 views
Non-causal of variable threshold algorithm
I'm not entirely sure this question belongs here. (Maybe better suited on stackoverflow or theoretical computer science). But here it goes.
I'm reading a paper called. "Time-Frequency Analysis of ...
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0answers
38 views
Removing data above the mean
I am working with a data set, for which to remove noisy data I take the average of the sample itself and cut anything above that average. What I'm trying to understand here is does this have a name ...
1
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1answer
92 views
Multivariate exponential smoothing and Kalman filter equivalence
Suppose the time-series $X$ is hidden state Gaussian random walk and we observe $Y = X + e$, where $e$ is gaussian white noise independent of $X$.
The Kalman estimator of $X$ in this case has a ...
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0answers
42 views
Question about asymptotics of steepest descent method in the context of adaptive filtering
The model which will be used is defined as
$e(n) = d(n) - y(n)$
with
$y(n) = x(n)^Tw(n)$.
where $e(n)$ is the error term of the n-th observation, $x(n)$ the input vector of the n-th ...
1
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1answer
149 views
State Space formulation of Hodrick-Prescott filter
I would like to apply the Kalman filter in order to get a causal Hodrick-Prescott filter.
The Hodrick-Prescott filter models a time series $(y_t)_{t=0}^T$ as
$$
y_t = \tau_t + c_t
$$
where $\tau_t$ is ...
1
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1answer
239 views
Formula for one-sided Hodrick-Prescott filter
I am not very familiar with filters. The Hodrick-Prescott filter as one can find it e.g. in wikipedia is two-sided. I also found an R implementation for this in the R package mFilter.
There the filter ...
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0answers
99 views
MSE of filtered noisy signal - Derivation
I'm working on understanding the derivation of the optimal time constant for filters based on minimizing mean squared error. Unfortunately the text made a big jump between steps and lost me.
Here's ...
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2answers
328 views
Filtering using ARMA model in R
I have two time-series, x and y. I would like to prewhiten x by fitting an ARMA(p,q) (or in ...
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0answers
130 views
How to filter missing time-series data for some, but not all, series? [closed]
For my paper I have collected data of companies for a period of 10 years. Some companies however, do not have data for all years but for my paper I need only those companies that have data over all ...
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0answers
31 views
Filtering virtual economy transactions
I am currently writing a pet-project for a browser based game which consists of two parts, first part is a data miner which observes the transactions in the market. And second part is as you might ...
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0answers
120 views
Determining smoothing parameter in HP filter for hourly data
I'm trying to determine an smoothing parameter for the Hodrick-Prescott Filter. I've seen that there are papers on the topic, but they are far too advanced for my comprehension. If I have a data set, ...
2
votes
1answer
49 views
Distinguishing statistical (global) and network (local) effects
I am analyzing how users of specific service affect each other by observing communication between them and changes in membership plans.
The social network consists of 3M users and 40M connections ...
