filter.process {freqdom}

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 [X_1,\ldots, X_T]^\prime be a T\times d matrix corresponding to a vector series X_1,\ldots,X_T. This time series is transformed to the series Y_1,\ldots, Y_T, where

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

The index k of A_k is determined by the lags defined for the time domain object. When index t-k falls outside the domain \{1,\ldots, T\} we set X_t=\frac{1}{T}\sum_{k=1}^T X_k.

Value

A matrix. Row t corresponds to Y_t.

Functions

• filter.process(): Multivariate convolution (filter) in the time domain

• X %c% A: Convenience operator for filter.process function

See Also

timedom