filter.process: Convolute (filter) a multivariate time series using a...

In freqdom: Frequency Domain Based Analysis: Dynamic PCA

Convolute (filter) a multivariate time series using a time-domain filter

Description

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

Usage

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

Y_t=∑_{k=-q}^p A_k X_{t-k},\quad t\in\{p+1,…, T-q\}.

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

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

See Also

timedom

freqdom documentation built on Oct. 4, 2022, 5:05 p.m.