Thomas M. Trimbur

University of Cambridge - Faculty of Economics and Politics

Austin Robinson Building

Sidgwick Avenue

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

125

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass Filtering

FEDS Working Paper No. 2007-68
Number of pages: 34 Posted: 17 Jul 2008
Tucker McElroy and Thomas M. Trimbur
U.S. Census Bureau - Center for Statistical Research and Methodology and University of Cambridge - Faculty of Economics and Politics
Downloads 72 (609,417)

Abstract:

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Continuous time processes, cycles, Hodrick-Prescott filter, linear filtering, signal extraction, turning points

2.

Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

FEDS Working Paper No. 2012-45
Number of pages: 45 Posted: 20 Dec 2012
Tucker McElroy and Thomas M. Trimbur
U.S. Census Bureau - Center for Statistical Research and Methodology and University of Cambridge - Faculty of Economics and Politics
Downloads 53 (709,256)
Citation 4

Abstract:

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co-integration, common trends, filters, multivariate models, stochastic trends, unobserved components