filter {signal}

Filter a signal

Description

Generic filtering function. The default is to filter with an ARMA filter of given coefficients. The default filtering operation follows Matlab/Octave conventions.

Usage

## Default S3 method:
filter(filt, a, x, init, init.x, init.y, ...)

## S3 method for class 'Arma'
filter(filt, x, ...)

## S3 method for class 'Ma'
filter(filt, x, ...)

## S3 method for class 'Zpg'
filter(filt, x, ...)

Arguments

filt

For the default case, the moving-average coefficients of an ARMA filter (normally called ‘b’). Generically, filt specifies an arbitrary filter operation.

a

the autoregressive (recursive) coefficients of an ARMA filter.

x

the input signal to be filtered.

init, init.x, init.y

init, init.x, init.y

allows to supply initial data for the filter - this allows to filter very large timeseries in pieces.

...

additional arguments (ignored).

Details

The default filter is an ARMA filter defined as:

a_1y_n + a_2y_{n-1} + \dots + a_ny_1 = b_1x_n + b_2x_{m-1} + \dots + b_mx_1

The default filter calls stats:::filter, so it returns a time-series object.

Since filter is generic, it can be extended to call other filter types.

Value

The filtered signal, normally of the same length of the input signal x.

Author(s)

Tom Short, EPRI Solutions, Inc., ([e-mail])

References

https://en.wikipedia.org/wiki/Digital_filter

Octave Forge https://octave.sourceforge.io/

See Also

filter in the stats package, Arma, fftfilt, filtfilt, and runmed.

Examples

bf <- butter(3, 0.1)                          # 10 Hz low-pass filter
t <- seq(0, 1, len = 100)                     # 1 second sample
x <- sin(2*pi*t*2.3) + 0.25*rnorm(length(t))  # 2.3 Hz sinusoid+noise
z <- filter(bf, x) # apply filter
plot(t, x, type = "l")
lines(t, z, col = "red")