[<]

3rd International Conference of the ERCIM WG on COMPUTING & STATISTICS (ERCIM'10)

TUTORIAL 2: Statistical Signal Extraction and Filtering

London School Of Economics, Graham Wallace Room, AGWR in the Old Building (Fifth Floor)

D.S.G. Pollock, Department of Economics, University of Leicester, UK. Email: stephen_pollock@sigmapi.u-net.com

These tutorial lectures will review the theory and the practice of some of the modern methods of statistical signal extraction, and they will encompass some of the most recent developments. The lectures will begin with a review of the well-established Wiener--Kolmogorov theory of linear filtering, together with its interpretations within the time domain and the frequency domain. The theory will be extended to encompass short nonstationary sequences. Various alternative algorithms for realising the filters will be presented. The lectures will proceed to describe filtering methods that exploit the concepts of the Fourier analysis. Such methods presuppose that the de-trended data can be expressed as a combination of trigonometrical or complex exponential functions. The techniques that enable these methods to be applied to trended and nonstationary data will be described. A variety of recently developed filtering methods that continue to evade a full theoretical analysis will also be described. These will include the methods of singular spectral analysis and of empirical mode decompositions.

Tutorial Programme

Thursday 9th December 2010

09:30 - 10:45 Lecture

10:45 - 11:15 Coffee Break (Served in lecture rooms)

11:15 - 12:45 Lecture

12:45 - 14:00 Lunch (not provided)

14:00 - 16:00 Lecture

16:00 - 16:45 Coffee Break (in AGWR for all people - get together)

Texts for the Tutorial

Statistical Signal Extraction and Filtering

Structural Time Series Models

IDEOLOG: A Progam for Filtering Econometric Data---ASynopsis of Alternative Methods

Lecture Slides

Computer Program : IDEOLOG.Zip