##### Department of Mathematics,

University of California San Diego

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### Statistics

## Dr. Tucker McElroy

#### U.S. Census Bureau

## Finite-sample signal extraction

##### Abstract:

We trace the theory for finite sample signal extraction, moving from stationary signal and noise, to nonstationary signal and stationary noise, to nonstationary signal and noise. These concepts are developed through some key examples, including the airline model. Our final goal is to present exact formulas for finite sample signal extraction estimates and mean squared errors, within a fairly general class of unobserved component models.

Host: Dimitris Politis

### May 6, 2005

### 3:00 PM

### AP&M 6438

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