fst: FST criteria

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

FST criteria

Description

Compute the Fidelity, Smoothness and Timeliness (FST) criteria

Usage

fst(weights, lags, passband = pi/6)

Arguments

weights	either a "moving_average" or a numeric vector containing weights.
lags	Lags of the moving average (when weights is not a "moving_average").
passband	Passband threshold for timeliness criterion.

Value

The values of the 3 criteria, the gain and phase of the associated filter.

References

Grun-Rehomme, Michel, Fabien Guggemos, and Dominique Ladiray (2018). “Asymmetric Moving Averages Minimizing Phase Shift”. In: Handbook on Seasonal Adjustment.

Examples

filter <- lp_filter(horizon = 6, kernel = "Henderson", endpoints = "LC")
fst(filter[, "q=0"])

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