cfilter: Time Series Convolution Filters

In simts: Time Series Analysis Tools

Time Series Convolution Filters

Description

Applies a convolution filter to a univariate time series.

Usage

cfilter(x, filter, sides, circular)

Arguments

x	A column vector of length T
filter	A column vector of length f
sides	An int that takes either 1:for using past values only or 2: filter coefficients are centered around lag 0.
circular	A bool that indicates if the filter should be wrapped around the ends of the time series.

Details

This is a port of the cfilter function harnessed by the filter function in stats. It is about 5-7 times faster than R's base function. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.

Value

A column vec that contains the results of the filtering process.

Author(s)

R Core Team and JJB

simts documentation built on Aug. 31, 2023, 5:07 p.m.