recitation3 notes

# recitation3 notes - Filtering 1 14.384 Time Series Analysis...

This preview shows pages 1–3. Sign up to view the full content.

Filtering 1 14.384 Time Series Analysis, Fall 2007 Recitation by Paul Schrimpf Supplementary to lectures given by Anna Mikusheva September 21, 2007 Recitation 3 Filtering In lecture 4, we introduced filtering. Here we’ll spend a bit more time deriving some common filters and showing how to use them. Recall that an ideal band-pass filter has B ( e i� ) = 1 [ ω l , ω h ] 0 otherwise and can be written as B ( e i� ) = j e i�j −∈ where 1 = e i�j d� j 2 ω | |� [ l ,� h ] 1 = e i�j d� + e i�j d� 2 ω l ,� h h , l 1 = e i� h j e i� l j + e i� l j e i� h j 2 ωij sin( j� h ) sin( j� l ) j = 0 = �j h l j = 0 Baxter-King Baxter and King (1999) proposed approximating the ideal filter with one of order J by solving 1 i� B ( e i� ) | 2 min | B ( e d� B () 2 ω s.t. B (1) = β

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Baxter-King 2 where the constraint may or may not be present.
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### What students are saying

• As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

Kiran Temple University Fox School of Business ‘17, Course Hero Intern

• I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

Dana University of Pennsylvania ‘17, Course Hero Intern

• The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

Jill Tulane University ‘16, Course Hero Intern