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cfilter

Time Series Convolution Filters

Description

Applies a convolution filter to a univariate time series.

Usage

cfilter(x, filter, sides, circular)

Arguments

x

A column vector of length T
filter

A column vector of length f
sides

An int that takes either 1:for using past values only or 2: filter coefficients are centered around lag 0.
circular

A bool that indicates if the filter should be wrapped around the ends of the time series.

Details

This is a port of the cfilter function harnessed by the filter function in stats. It is about 5-7 times faster than R's base function. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.

Value

A column vec that contains the results of the filtering process.

Author(s)

R Core Team and JJB

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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