A Bank of Latvia working paper, published late last year, analyses a new approach to extracting signals from data-sets where a large number of measurements are presented at once.

The author, Ginters Bušs, considers the ability of a regularised multivariate direct filter to extract real-time signals and the predictive power of the information it extracts.

Bušs uses the filter to track a medium- to long-term component of a 72-variable dataset on the Euro area's GDP growth, and deems it a