Applies a recursive filter to a univariate time series.
rfilter(x, filter, init)x A column vector with its contents reversed.
A column vector of length T
A column vector of length f
A column vector of length f that contains the initial values of the time series in reverse.
JJB
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.