filter.process: Generate a linear process from

In freqdom: Frequency Domain Analysis for Multivariate Time Series

Description

Compute

Y_t = ∑_{k=-q}^p A_k X_{t-k}

where X_t is a stationary multivariate time series and (A_k)_{-q ≤q k ≤q p} is a filter. Note that this procedure can also be used for deconvolution

\tilde X_t = ∑_{k=-q}^p X_{t+k}

A_k' but therefore in place of A one should it's transposition and inversed time, i.e. t(rev(A)).

Usage

filter.process(X, A)

Arguments

X	process
A	time-domain operator series

Value

Multivariate linear process

freqdom documentation built on May 2, 2019, 5:55 p.m.