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On Parameter Tuning of Butterworth Filters
https://seijo.repo.nii.ac.jp/records/3606
https://seijo.repo.nii.ac.jp/records/3606c0e37fa9-7256-4df8-8687-0c6188b937a6
名前 / ファイル | ライセンス | アクション |
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208-otsu (4.4 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2015-12-18 | |||||
タイトル | ||||||
タイトル | On Parameter Tuning of Butterworth Filters | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | On Parameter Tuning of Butterworth Filters | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P(論文) | |||||
著者 |
大津, 武
× 大津, 武 |
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著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 8756 | |||||
姓名 | Otsu, Takeshi | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Tuning order parameters of the Butterworth filters makes it possible to extract certain cyclical components of time series with specified precision. But it comes at the expense of numerical stability: a higher order causes a numerical instability. This paper examines what parameter values should be set for the Butterworth filtering to produce the turning dates of the business cycles consistent with the official reference dates of Japan. The main findings are summarized as follows. First, when the transition bands take frequencies of 12 to 18 months per cycle and 96 to 132 months per cycle, the estimated dates of peaks and troughs are consistent with the officially published reference dates of the business cycles in Japan. The corresponding orders of the filters are 11 and 14 for each transition band. Secondly, the deviations from the reference dates are 2.2 months on average that are comparatively small in the literature. Third, the estimates of the turning points are robust to the chages of the pass bands.Tuning order parameters of the Butterworth filters makes it possible to extract certain cyclical components of time series with specified precision. But it comes at the expense of numerical stability: a higher order causes a numerical instability. This paper examines what parameter values should be set for the Butterworth filtering to produce the turning dates of the business cycles consistent with the official reference dates of Japan. The main findings are summarized as follows. First, when the transition bands take frequencies of 12 to 18 months per cycle and 96 to 132 months per cycle, the estimated dates of peaks and troughs are consistent with the officially published reference dates of the business cycles in Japan. The corresponding orders of the filters are 11 and 14 for each transition band. Secondly, the deviations from the reference dates are 2.2 months on average that are comparatively small in the literature. Third, the estimates of the turning points are robust to the chages of the pass bands. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Tuning order parameters of the Butterworth filters makes it possible to extract certain cyclical components of time series with specified precision. But it comes at the expense of numerical stability: a higher order causes a numerical instability. This paper examines what parameter values should be set for the Butterworth filtering to produce the turning dates of the business cycles consistent with the official reference dates of Japan. The main findings are summarized as follows. First, when the transition bands take frequencies of 12 to 18 months per cycle and 96 to 132 months per cycle, the estimated dates of peaks and troughs are consistent with the officially published reference dates of the business cycles in Japan. The corresponding orders of the filters are 11 and 14 for each transition band. Secondly, the deviations from the reference dates are 2.2 months on average that are comparatively small in the literature. Third, the estimates of the turning points are robust to the chages of the pass bands. | |||||
書誌情報 |
成城大學經濟研究 en : Seijo University economic papers 号 208, p. 1-49, 発行日 2015-03 |
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出版者 | ||||||
出版者 | 成城大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 03874753 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00127472 | |||||
論文ID(NAID) | ||||||
識別子タイプ | NAID | |||||
関連識別子 | 110009894277 |