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Fitting a smooth moving average to noisy data (Corresp.)

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1 Author(s)

Recently, Tong has studied the problem of fitting an autoregressive (AR) model to a stochastic signal with noisy data. In this correspondence, we study the associated problem of fitting a smooth moving average to noisy data. The approach is again based on an information criterion due to Akaike.

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Information Theory, IEEE Transactions on  (Volume:22 ,  Issue: 4 )