R/prewhiten.R

In TSA: Time Series Analysis

#' @export 
prewhiten <-
function (x,y,x.model=ar.res,ylab='CCF',...) 
{
filter.mod=function(x,model){
if(length(model$Delta)>=1) x=stats::filter(x,filter=c(1,-model$Delta),method='convolution',sides=1)
if(length(model$theta)>=1 && any(model$theta!=0))   x=stats::filter(x,filter=-model$theta,method='recursive',sides=1)
if(length(model$phi)>=1 && any(model$phi!=0))   x=stats::filter(x,filter=c(1,-model$phi),method='convolution',sides=1)
x
}

if(!missing(x.model)) {
x=filter.mod(x,model=x.model$model)
                      y=filter.mod(y,model=x.model$model)} else {
ar.res=ar.ols(x,...)
x=stats::filter(x,filter=c(1,-ar.res$ar),method='convolution',sides=1)
y=stats::filter(y,filter=c(1,-ar.res$ar),method='convolution',sides=1)}
ccf.xy=ccf(x=x,y=y,na.action=na.omit,ylab=ylab,...)
invisible(list(ccf=ccf.xy,model=x.model))
}