ts_fil_recursive: Recursive Filter

In tspredit: Time Series Prediction with Integrated Tuning

Recursive Filter

Description

Apply recursive linear filtering (ARMA-style recursion) to a univariate series or each column of a multivariate series. Useful for smoothing and mitigating autocorrelation.

Usage

ts_fil_recursive(filter)

Arguments

filter

smoothing parameter. The larger the value, the greater the smoothing. The smaller the value, the less smoothing, and the resulting series shape is more similar to the original series.

Value

A ts_fil_recursive object.

Examples

# time series with noise
library(daltoolbox)
data(tsd)
tsd$y[9] <- 2*tsd$y[9]

# filter
filter <- ts_fil_recursive(filter =  0.05)
filter <- fit(filter, tsd$y)
y <- transform(filter, tsd$y)

# plot
plot_ts_pred(y=tsd$y, yadj=y)

tspredit documentation built on Feb. 11, 2026, 9:08 a.m.