kza (version 0.6-1)

kz: Kolmogorov-Zurbenko filter

Description

Kolmogorov-Zurbenko low-pass linear filter.

Usage

kz(v, q, k = 3)

Arguments

v

A vector of the time series

q

The half length of the window size for the filter

k

Number of iterations, default = 3

Details

KZ is an iterated moving average. The filter can be used with missing values.

References

Zurbenko, I. G., 1986: The spectral Analysis of Time Series. North-Holland, 248 pp.

Examples

#seperation of signals
yrs <- 20
t <- seq(0,yrs,length=yrs*365)
y <- sin(2*pi*t) + sin(3*pi*t)

k.kz <- kz(y,365/4)
k.kz <- k.kz[[1]]

par(mfrow=c(3,1))
plot(y,type="l",main="y = sin(2*pi*t)+sin(3*pi*t)")
plot(k.kz,type="l",main="KZ filter")

r <- y - 4*k.kz
plot(r,type="l",main="(y - 4*kz) ~ sin(3*pi*t)")

#another example
#remove noise and high frequency

yrs <- 20
t <- seq(0,yrs,length=yrs*365)
set.seed(6); e <- rnorm(n = length(t), sd = 1.0)
y <- sin(2*pi*t) + sin(3*pi*t) + e

k.kz <- kz(y,365/4)
k.kz <- k.kz[[1]]

par(mfrow=c(2,1))
plot(y,type="l",main="y = sin(2*pi*t)+sin(3*pi*t) + noise")
plot(k.kz,type="l",main="KZ filter")