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This self-contained note extends and generalizes smoothing procedures proposed by Whittle (1957), (1958) and Dickey (1968). The use of linear filters, chosen through analysis of the data to be smoothed, is advocated. Hence, smoothing is nonlinear. The setting can be viewed as a multivariate extension of empirical Bayes settings in which, usually, there are strong independence assumptions.
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James Dickey (1969) studied this question.
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