cfilter: Time Series Convolution Filters

Description Usage Arguments Details Value Author(s)

View source: R/RcppExports.R

Description

Applies a convolution filter to a univariate time series.

Usage

1
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


SMAC-Group/simts documentation built on Nov. 16, 2018, 8:05 a.m.