filter.process function

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

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

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.

Returns

A matrix. Row $t$ corresponds to $Y_t$.

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

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 $X_t=\frac{1}{T}\sum_{k=1}^T X_k$.

Functions

• filter.process(): Multivariate convolution (filter) in the time domain
• X %c% A: Convenience operator for filter.process function

See Also

timedom