Faliva, Mario
La stima del ciclo-trend col metodo delle funzioni sferoidali prolate [Articolo]
Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna, 2013-05-10

This paper develops a new method of trend-cycle estimation. According to the authors' frequency-domain characterization of latent components in economic time series, trend-cycle turns out to be a band-limited signal, located within the low-middle frequency range. Hence, the aforesaid component can be represented, resting on Landau and Pollak's smart theorems, in terms of a properly chosen set of prolate spheroidal functions and, what is more, it can be detected by projecting the observed series onto the subspace of band-limited sequences spanned by such functions. The paper plainly sets forth the theoretical frame and the technicalities of the suggested novel method of trend-cycle estimation and discusses a few of its operational aspects.

Diritti: Copyright (c) 1998 Statistica
Sorgente: Statistica; Vol. 58 No. 3 (1998); 313-327
Sorgente: Statistica; V. 58 N. 3 (1998); 313-327
Sorgente: 1973-2201
Sorgente: 0390-590X
oai:journals.unibo.it:article/1085. | 10.6092/issn.1973-2201/1085
Zoia, Maria Grazia

Articoli digitali. | Lingua: | Paese: | BID: EJ21014559
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