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Regular version of the site

Article

Effective Signal Extraction Via Local Polynomial Approximation Under Long-Range Dependency Conditions

Lobachevskii Journal of Mathematics. 2018. Vol. 39. No. 3. P. 309-320.

We study the signal extraction problemwhere a smooth signal is to be estimated against a long-range dependent noise. We consider an approach employing local estimates and derive a theoretically optimal (maximum likelihood) filter for a polynomial signal. On its basis, we propose a practical signal extraction algorithm and adapt it to the extraction of quasi-seasonal signals. We further study the performance of the proposed signal extraction scheme in comparison with conventional methods using the numerical analysis and real-world datasets.