Some aspects of Laguerre filtering usage for time series analysis

Abstract. This paper discusses using a discrete Laguerre filter for some time series problems in the frequency domain. The Laguerre transformation of an ARMA time series model is considered. The \(\beta\)–function is considered and the possible application of FFT for efficient computation is pointed out.

Key words and phrases. Time series, spectral analysis, frequency warping, discrete Laguerre filter.