O'Reilly logo

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by Brandon J. Whitcher, Faruk Selçuk, Ramazan Gençay

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

3

OPTIMUM LINEAR ESTIMATION

3.1 INTRODUCTION

In Chapter 2 we classified basic filters in the time domain according to their response functions as either an infinite impulse response (IIR) or a finite impulse response (FIR) filter. We also investigated basic filter properties in the frequency domain and classified them according to their frequency responses as high-pass, low-pass, or band-pass filters. It was assumed that the input to the filter is readily available and the filter coefficients are known. In this chapter, we study the determination of the optimal coefficients of an FIR filter assuming a specific class of observations,

image (3.1)

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required