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Design of Moving-Average Trend Filters Using Fidelity, Smoothness and Minimum Revisions Criteria
Design of Moving-Average Trend Filters Using Fidelity, Smoothness and Minimum Revisions Criteria
Working Paper Number RR96-01
Abstract
Many seasonal adjustment procedures decompose time series into trend, seasonal, irregular and other components using simple non-seasonal finite moving average trend filters. This report considers the design of such filters, both in the body and at the ends of series, based on specified criteria and simple dynamic models operating locally within the span of the filter.
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Page Last Revised - October 28, 2021
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