Signal extraction for finite nonstationary time series

Abstract

For a signal plus noise model, where both signal and noise are generated by nonstation ary ARIMA, autoregressive integrated moving average, models, we use the transformation approach of Ansley & Kohn (1985) to construct an estimate of the signal and obtain its mean squared error given a finite number of observations. A method for efficient computation of the signal estimate and its mean squared error is also presented.