The Impulse Response The sequence {ψj} of the filter’s coefficients constitutes its response, on the output side, to an input in the form of a unit impulse. If the sequence is finite, then ψ(z) is described as a moving-average filter or as a finite impulse-response (FIR) filter. When the filter produces an impulse response of an indefinite duration, it is called an infinite impulse-response (II...

This document introduces the R package BGVAR to estimate Bayesian global vector autoregressions (GVAR) with shrinkage priors and stochastic volatility. The treatment of GVARs allows include large information sets by mitigating issues related overfitting. often improves inference as well out-of-sample forecasts. Computational efficiency is achieved using C++ considerably speed up time-consuming ...

In this paper we introduce a new class of filters, the generalized feedforward structures, that combine attractive properties of the moving average (MA) filters for adaptation (i.e. fast algorithms, trivial stability) with some of the power of autoregressive moving average (ARMA) filters (i.e. decoupling of the length of the impulse response with filter order). Preliminary results show that thi...

The link between stock returns and economic growth has been an important research topic in the financial economic literature. The purpose of this study is to employ a threshold vector autoregressive (TVAR) approach in order to investigate the non-linear relationship between stock returns and output growth in the four East Asian countries: Taiwan, Japan, Korea, and Malaysia. The causality betwee...

Sharp FIR filters have very high implementation complexities. This is even more so for sharp 2-D FIR filters. In this paper, we introduce a new efficient approach for the synthesis of sharp diamond-shaped 2-D FIR filters using the frequency response masking technique. The design procedure as well as the parameters for the minimum complexity design are presented. A design example is also include...

In this paper the approximation of a complex-valued speci cation by the frequency response of a 2-D IIR separable-denominator (SD) digital lter is considered. The approximation problem is transformed into an equivalent one, where a real-valued 2-D IIR SD digital lter with some additional characteristics has to be determined that approximates a given real-valued 2-D FIR digital lter. A theorem i...

This paper presents fundamental limitations imposed on the frequency response of a filter by a non-negative impulse response (NNIR). Several upper-bounds on power spectral attenuation/gain in linearly spaced frequency regions are derived. These upper-bounds serve as a guide in the design of NNIR filters.

The finite impulse response filters are inherently stable and have linear phase response property. The main drawback of these filters is lies in requirement of higher orders for similar magnitude response compared to Infinite Impulse response filters. Also the amount of computational complexity needed for the implementation of the filter, especially for the filters with narrow transition band i...

The paper investigates the effectiveness of four projection methods of finite response function (FIR) to infinite response function (IIR) filters. This is done in the scope of a linear physiological model developed for functional Magnetic Resonance Imaging (fMRI). Of the four methods the Steiglitz-Mcbride algorithm provided the best fit. A new method is also proposed where a regularization term...

Manuscript received September 21, 1998. Manuscript revised January 6, 1999. † The authors are with Chiba Institute of Technology, Narashino-shi, 275-0016 Japan. †† The author is with Kogakuin University, Hachiouji-shi, 1920015 Japan. SUMMARY This paper proposes a method of improving the accuracy of the attenuation constant estimate obtained by using the crossspectral technique. In the cross-spe...