rfilter: Time Series Recursive Filters

In SMAC-Group/wv: Wavelet Variance

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.

Value

x A column vector with its contents reversed.

Author(s)

James J Balamuta

SMAC-Group/wv documentation built on Sept. 4, 2023, 5:15 a.m.