MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
给出了有限采样时间序列中非平稳ARIMA信号和噪声成分的最小均方误差信号提取的通用矩阵公式，并扩展到未来信号值的估计，结合了信号提取与预测。
The paper provides general matrix formulas for minimum mean squared error signal extraction for a finitely sampled time series whose signal and noise components are nonstationary autoregressive integrated moving average processes. These formulas are quite practical; in addition to being simple to implement on a computer, they make it possible to easily derive important general properties of the signal extraction filters. We also extend these formulas to estimates of future values of the unobserved signal, and we show how this result combines signal extraction and forecasting.