Hi Group,

Hoping someone could shed some light on a query I have. Basically I've been working with FIR (band-pass window sync) filters to analyse
some stock prices (purely academic at this stage).

Say for example I'm filtering for contributions of wavelength 10 days. The filter designer I have produces me a filter of kernel length 21, 41, 61 or 81 days which is symetric about it's middle value. It would appear that these filters have a phase lag of half their length. For example a kernel length of 21 days (with symetry about the middle day) has a phase lag of 10 days, ie lagging by one cycle.

Two issues I'm having are:

1) Is there any way to adjust one of these filters (eg the 21 point kernel) to give a smaller phase lag?

2) Shorter length filters have less phase lag and give a more recent measure of where we are in the cylce and the magnitude of it, but longer ones filter better. Any way to get the best of both worlds?

If anyone has any ideas and has time to detail them I'd love to hear!

Cheers,

Stewart

Hoping someone could shed some light on a query I have. Basically I've been working with FIR (band-pass window sync) filters to analyse

Say for example I'm filtering for contributions of wavelength 10 days. The filter designer I have produces me a filter of kernel length 21, 41, 61 or 81 days which is symetric about it's middle value. It would appear that these filters have a phase lag of half their length. For example a kernel length of 21 days (with symetry about the middle day) has a phase lag of 10 days, ie lagging by one cycle.

Two issues I'm having are:

1) Is there any way to adjust one of these filters (eg the 21 point kernel) to give a smaller phase lag?

2) Shorter length filters have less phase lag and give a more recent measure of where we are in the cylce and the magnitude of it, but longer ones filter better. Any way to get the best of both worlds?

If anyone has any ideas and has time to detail them I'd love to hear!

Cheers,

Stewart