dfa_filter: Direct Filter Approach

In palatej/rjdfilters: Trend-Cycle Extraction with Linear Filters

Direct Filter Approach

Description

Direct Filter Approach

Usage

dfa_filter(
  horizon = 6,
  degree = 0,
  density = c("uniform", "rw"),
  targetfilter = lp_filter(horizon = horizon)[, 1],
  passband = 2 * pi/12,
  accuracy.weight = 1/3,
  smoothness.weight = 1/3,
  timeliness.weight = 1/3
)

Arguments

horizon	horizon (bandwidth) of the symmetric filter.
degree	degree of polynomial.
density	hypothesis on the spectral density: "uniform" (= white woise, the default) or "rw" (= random walk).
targetfilter	the weights of the symmetric target filters (by default the Henderson filter).
passband	passband threshold.
accuracy.weight, smoothness.weight, timeliness.weight	the weight used for the optimisation. The weight associated to the residual is derived so that the sum of the four weights are equal to 1.

Examples

dfa_filter(horizon = 6, degree = 0)
dfa_filter(horizon = 6, degree = 2)

palatej/rjdfilters documentation built on May 8, 2023, 6:28 a.m.