gmwm (version 2.0.0)

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.

Value

x A column vector with its contents reversed.

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.

Examples

x = 1:100
# 
rfilter(x, rep(1, 3), rep(1, 3))
# Using R's function
filter(x, rep(1, 3), method="recursive", init=rep(1, 3))