medianFilter: Median filtering of a time series

In fractal: A Fractal Time Series Modeling and Analysis Package

Description

Given a filter order P, the output of applying a median filter to a time series X[t] for t=0, ..., N - 1 is

P odd:

Y[ k ]=median(X[ k - (P - 1) / 2, ..., k + (P - 1) / 2 ])

P even:

Y[ k ]=median(X[ k - P / 2, ..., k + P / 2 - 1 ])

for k=0, ..., N - 1. Thus, median filtering replaces the kth value of the time series with the median of the time series over an P-point window centered about point k. In the case where a portion of the window exceeds the boundaries of the time series, the values outside the boundaries are ignored in the median value calculation.

Usage

medianFilter(x, order=2)

Arguments

x	a vector containing a uniformly-sampled real-valued time series.
order	the median filter order. This argument defines the size of the windows over which the median values are calculated. The filter order must be positive and less than twice the length of the time series. Default: 2.

Value

a vector containing the result and of the same length as the original time series.

See Also

localProjection.

Examples

x      <- beamchaos@data
x      <- x - mean(x)
sigma  <- stdev(x)
xnoise <- x + rnorm(length(x)) * sigma / 3
xclean <- medianFilter(xnoise, order=10)
y <- data.frame(xclean, xnoise, x)

stackPlot(x=positions(beamchaos)[], y=y,
    ylab=c("denoised","noisy","original"),
    ylim=range(y))

Example output

Loading required package: splus2R
Loading required package: ifultools

fractal documentation built on May 1, 2019, 8:04 p.m.