cfilter: Time Series Convolution Filters
In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

Description Usage Arguments Details Value Author(s) Examples

Applies a convolution filter to a univariate time series.

1	cfilter(x, filter, sides, circular)

`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.

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.

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

R Core Team and JJB

x = 1:15
# 
cfilter(x, rep(1, 3), sides = 2, circular = FALSE)
# Using R's function
filter(x, rep(1, 3))
#
cfilter(x, rep(1, 3), sides = 1, circular = FALSE)
# Using R's function
filter(x, rep(1, 3), sides = 1)
#
cfilter(x, rep(1, 3), sides = 1, circular = TRUE)
# Using R's function
filter(x, rep(1, 3), sides = 1, circular = TRUE)