Abstract :
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+
