# filter.process: Convolute (filter) a multivariate time series using a... In freqdom: Frequency Domain Based Analysis: Dynamic PCA

## Description

This function applies a linear filter to some vector time series.

## Usage

 1 2 3 filter.process(X, A) X %c% A 

## Arguments

 X vector time series given in matrix form. Each row corresponds to a timepoint. A an object of class timedom.

## Details

Let [X_1,…, X_T]^\prime be a T\times d matrix corresponding to a vector series X_1,…,X_T. This time series is transformed to the series Y_1,…, Y_T, where

The index k of A_k is determined by the lags defined for the time domain object. When index t-k falls outside the domain \{1,…, T\} we set X_t=\frac{1}{T}∑_{k=1}^T X_k.

## Value

A matrix. Row t corresponds to Y_t.

## Functions

• filter.process: Multivariate convolution (filter) in the time domain

• %c%: Convenience operator for filter.process function

timedom