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,
(3.1)
Get An Introduction to Wavelets and Other Filtering Methods in Finance and Economics now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
