6.1 Adaptive filters
Main features, which we must obtain:
1) Zero-phase distortion (because we are going to make forecasts and we shouldn’t influence on the data’s phase we have.
2) We don’t know what real signal is and what is noise, especially in case of share values or smth like that. So one have to decide apriori what is the signal we want to obtain.
In this chapter I’m going to make an overview of 3 types of adaptive filters: Zero-phase filter (smoothing filter), Kalman filter (error estimator), and Empirical mode decomposition.