rfilter: Time Series Recursive Filters
In SMAC-Group/simts: Time Series Analysis Tools

rfilter

R Documentation

Time Series Recursive Filters

Description

Applies a recursive filter to a univariate time series.

Usage

rfilter(x, filter, init)

Arguments

`x`	A `column vector` of length T
`filter`	A `column vector` of length f
`init`	A `column vector` of length f that contains the initial values of the time series in reverse.

Details

Note: The length of 'init' must be equal to the length of 'filter'. This is a port of the rfilter function harnessed by the filter function in stats. It is about 6-7 times faster than R's base function. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.