Learn R Programming

QuantTools (version 0.5.3)

roll_sd_filter: Rolling Filter

Description

Logical vector is returned. This function is useful to filter ticks. Finds consequent elements which absolute change is higher than k standard deviation of past n changes and mark them FALSE. If sequence length greater than m values become TRUE.

Usage

roll_sd_filter(x, n, k = 1, m = 10L)

Arguments

x
numeric vector
n
window size
k
number of standard deviations
m
number of consequent large returns to stop filtering out