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#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# A copy of the GNU General Public License is available at
# ../../COPYING
################################################################################
# FUNCTION: DESCRIPTION:
# filter,timeSeries Applies linear filtering to a 'timeSeries' object
################################################################################
setMethod("filter", "timeSeries",
function(x, filter, method = c("convolution", "recursive"),
sides = 2, circular = FALSE, init = NULL)
{
# Description:
# Applies linear filtering to a 'timeSeries' object
# Arguments:
# x - a univariate or multivariate time series.
# filter - a vector of filter coefficients in reverse time order (as
# for AR or MA coefficients).
# method - Either "convolution" or "recursive" (and can be
# abbreviated). If "convolution" a moving average is used:
# if "recursive" an autoregression is used.
# sides - for convolution filters only. If sides=1 the filter
# coefficients are for past values only; if sides=2 they are
# centred around lag 0. In this case the length of the filter
# should be odd, but if it is even, more of the filter is
# forward in time than backward.
# circular - for convolution filters only. If TRUE, wrap the filter
# around the ends of the series, otherwise assume external
# values are missing (NA).
# init - for recursive filters only. Specifies the initial values
# of the time series just prior to the start value, in reverse
# time order. The default is a set of zeros.
# Value:
# Returns a 'timeSeries' object.
# FUNCTION:
# Check Arguments:
stopifnot(is.timeSeries(x))
# Extract Title and Documentation:
Title <- x@title
Documentation <- x@documentation
# Filter:
ans <- filter(getDataPart(x), filter = filter, method = method,
sides = sides, circular = circular, init = init)
# Note: do not use as.matrix because ts objects might
# not be coerced properly
ans <- as(ans, "matrix")
# Add Column Names:
colnames(ans) <- colnames(x)
ans <- setDataPart(x, ans)
# Preserve Title and Documentation:
ans@title <- Title
ans@documentation <- Documentation
# Return Value:
ans
})
################################################################################
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