filter.process {freqdom}R Documentation

Convolute (filter) a multivariate time series using a time-domain filter

Description

This function applies a linear filter to some vector time series.

Usage

filter.process(X, A)

X %c% A

Arguments

X

vector time series given in matrix form. Each row corresponds to a timepoint.

A

an object of class timedom.

Details

Let [X1,,XT][X_1,\ldots, X_T]^\prime be a T×dT\times d matrix corresponding to a vector series X1,,XTX_1,\ldots,X_T. This time series is transformed to the series Y1,,YTY_1,\ldots, Y_T, where

Yt=k=qpAkXtk,t{p+1,,Tq}. Y_t=\sum_{k=-q}^p A_k X_{t-k},\quad t\in\{p+1,\ldots, T-q\}.

The index kk of AkA_k is determined by the lags defined for the time domain object. When index tkt-k falls outside the domain {1,,T}\{1,\ldots, T\} we set Xt=1Tk=1TXkX_t=\frac{1}{T}\sum_{k=1}^T X_k.

Value

A matrix. Row tt corresponds to YtY_t.

Functions

See Also

timedom


[Package freqdom version 2.0.5 Index]