Description Usage Arguments Value
This function computes MSE (mean-square) DFA-solutions as well as customized filters: it replicates the function dfa_ms if lambda=eta=0 and if i1=i2=F. It can solve univariate signal extraction problems only. It can handle constraints. Regularization is not possible.
1 | dfa_analytic(L, lambda, periodogram, Lag, Gamma, eta, cutoff, i1, i2)
|
L |
Filter length |
lambda |
Customization parameter: Timeliness is emphasized in the ATS-trilemma if lambda>0 |
periodogram |
Periodogram (as generated by function per) |
Lag |
Backcast (Lag>0), Nowcast (Lag=0) or Forecast (Lag<0) |
Gamma |
Generic target specification: typically symmetric Lowpass (trend) or Bandpass (cycle) filters. Highpass and anticipative allpass (forecast) can be specified too. |
eta |
Customization parameter: Smoothness is emphasized in the ATS-trilemma if eta>0 |
cutoff |
Specifies start-frequency in stopband from which Smoothness is emphasized (corresponds typically to the cutoff of the lowpass target). Is not used if eta=0. |
i1 |
Boolean. If T a first-order filter constraint in frequency zero is obtained: amplitude of real-time filter must match weight_constraint (handles integration order one) |
i2 |
Boolean. If T a second-order filter constraint in frequency zero is obtained: time-shift of real-time filter must match target (together with i1 handles integration order two) |
b optimal filter coefficients: MSE-design if lambda=eta=0
trffkt Complex transfer function of optimal (univariate) filter
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