arfilter: AR filter

In AkselA/R-ymse: Ymse (Various)

Description

Filter a time series using AR coefficients

Usage

arfilter(x, mod, x.mean = mod$x.mean, init = "focb")

Arguments

x	a time series
mod	an AR model
x.mean	the mean used. By default the mean of the original model. Set to zero for no demeaning
init	how the initial values should be chosen. First observation carried backwards (default), mean of the first values, or the first values in reverse.

See Also

armodel

Examples

set.seed(1)
arap <- ar(AirPassengers)
spec.ar(arap)
spec.pgram(arfilter(rnorm(10000), arap), span=21, na.action=na.omit)

arm <- armodel(c(1.3, -0.4))
spec.ar(arm)
plot(x <- rnorm(200), type="l")
lines(scale(arfilter(x, arm), center=FALSE), col="red", lwd=2)

AkselA/R-ymse documentation built on March 21, 2020, 9:52 a.m.