1. The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions
- Author
-
Marc Wildi and Tucker McElroy
- Subjects
Statistics and Probability ,Economics and Econometrics ,Multivariate statistics ,Mathematical optimization ,510: Mathematik ,Computer science ,Process (engineering) ,330: Wirtschaft ,media_common.quotation_subject ,05 social sciences ,Control (management) ,Linear prediction ,Filter (signal processing) ,Time shifting ,01 natural sciences ,010104 statistics & probability ,Filter analysis ,0502 economics and business ,Quality (business) ,0101 mathematics ,Statistics, Probability and Uncertainty ,050205 econometrics ,media_common - Abstract
Numerous contexts in macroeconomics, finance, and quality control require real-time estimation of trends, turning points, and anomalies. The real-time signal extraction problem is formulated as a multivariate linear prediction problem, the optimal solution is presented in terms of a known model, and multivariate direct filter analysis is proposed to address the more typical situation where the process’ model is unknown. It is shown how general constraints – such as level and time shift constraints – can be imposed on a concurrent filter in order to guarantee that real-time estimates have requisite properties. The methodology is applied to petroleum and construction data.
- Published
- 2020
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