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rfilter

Time Series Recursive Filters

Description

Applies a recursive filter to a univariate time series.

Usage

rfilter(x, filter, init)

Arguments

x

A column vector of length T
filter

A column vector of length f
init

A column vector of length f that contains the initial values of the time series in reverse.

Details

Note: The length of 'init' must be equal to the length of 'filter'. This is a port of the rfilter function harnessed by the filter function in stats. It is about 6-7 times faster than R's base function. The benchmark was done on iMac Late 2013 using vecLib as the BLAS.

Value

x A column vector with its contents reversed.

Author(s)

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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