sigex.hi2low: Embeds a given high frequency filter as a low frequency...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Embeds a given high frequency filter as a low frequency filter for a vector embedding

Description

Background: a scalar high frequency filter acts on a high frequency time series by convolution. If we embed as a low frequency time series, the corresponding filter is now a matrix filter.

Usage

sigex.hi2low(filter.hi, hi.freq, low.freq, shift.hi)

Arguments

filter.hi	Given scalar high frequency filter of length L
hi.freq	Sampling frequency of high frequency time series
low.freq	Sampling frequency of low frequency time series
shift.hi	The integer offset for the high frequency filter: filter coefficients have indices -shift.hi,...,0,...,L-1-shift.hi set shift.hi = 0 for a causal filter

Value

filter.low: array s x s x M, where s = hi.freq/low.freq (must be an integer) and M is length, which depends on s, L, and shift.hi shift.low: integer offset for the low frequency filter

jlivsey/sigex documentation built on May 25, 2024, 4:17 a.m.