An account is given of a variety of linear filters which can be used for extracting trends from economic time series and for generating de-trended series. A family of rational square-wave filters is described which enable designated frequency ranges to be selected or rejected. Their use is advocated in preference to other filters which are commonly used in quantitative economic analysis.

The question of recovering a multiband signal from noisy observations motivates a model in which the multivariate data points consist of an unknown deter-ministic trend observed with multivariate Gaussian errors. A cognate random trend model suggests aane shrinkage estimators ^ A and ^ B for , which are related to an extended Efron-Morris estimator. When represented canonically, ^ A performs co...

This paper discusses multivariate time series models based on unobserved components with dynamic converging properties. We define convergence in terms of a decrease in dispersion over time and model this decrease via mechanisms that allow for gradual reductions in the ranks of covariance matrices associated with the disturbance vectors driving the unobserved components of the model. The inclusi...

BACKGROUND Knowledge of cycle-to-cycle changes in isthmus geometry is of potential importance for radiofrequency catheter ablation to stop reentrant ventricular tachycardia. It was hypothesized that isthmus geometry often undergoes continuous evolution throughout reentry and that cycle-length variability measurements could be used to segment reentry into distinct phases and to predict changes i...

This paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the “trendÔand “cyclicalÔ) of household asset wealth. We focus our attention on a cointegrated system of three aggregate variables that are clearly central to the behavior of household spending: consumption, asset wealth and labor earnings. Because this cointegrated system is motivated by a ...

We present a new approach to trend/cycle decomposition of time series that follow regime-switching processes. The proposed approach, which we label the “regime-dependent steady-state” (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge-Nelson (1981) decomposition to the setting where the reduced-form dynamics of a given series can be captured by a regime-switch...

The ARIMA-model-based methodology of programs TRAMO and SEATS for seasonal adjustment and trend-cycle estimation was applied to the exports, imports, and balance of trade Japanese series in Maravall (2002). The programs were used in an automatic mode, and the results analyzed. The present paper contains an extension of the work. First, some improvements in the automatic modelling procedure are ...

Spectral analysis of DNA microarray gene expressions time series data is important for understanding the regulation of gene expression and gene function of the Plasmodium falciparum in the intraerythrocytic developmental cycle. In this paper, we propose a new strategy to analyze the cell cycle regulation of gene expression profiles based on the combination of singular spectrum analysis (SSA) an...