Dear All,
I am Ph.D. student in Econometrics. My thesis is about "Linear Filtering on
a Time Series" which R has already a nice package, namely
"Filter". This package is really helpful for my study. But, I really
help from you to create two filter using with "filter" package.
I want to create two filter desribed in attachment (effects word file) using
"filter" package. But, I dont know how?
I really need your reply,
Sincerely,
Alpay KOCAK
The "filter" package usage is given below.
filter(x, filter, method = c("convolution", "recursive"),
sides = 2, circular = FALSE, init)
And arguments,
x : a univariate or multivariate time series.
filter : a vector of filter coefficients in reverse time order (as for AR or MA
coefficients).
method : Either "convolution" or "recursive" (and can be
abbreviated). If "convolution" a moving average is used: if
"recursive" an autoregression is used.
sides : for convolution filters only. If sides = 1 the filter coefficients are
for past values only; if sides = 2 they are centred around lag 0. In this case
the length of the filter should be odd, but if it is even, more of the filter is
forward in time than backward.
circular : for convolution filters only. If TRUE, wrap the filter around the
ends of the series, otherwise assume external values are missing (NA).
init : for recursive filters only. Specifies the initial values of the time
series just prior to the start value, in reverse time order. The default is a
set of zeros.
Dear NECMETT?N ALPAY KO?AK, Re:> Dear All, > I am Ph.D. student in Econometrics. My thesis is about "Linear Filtering on a Time Series" which R has already a nice package, namely "Filter". This package is really helpful for my study. But, I really help from you to create two filter using with "filter" package. > I want to create two filter desribed in attachment (effects word file) using "filter" package. But, I dont know how? > > I really need your reply, > Sincerely, > > Alpay KOCAK > (etc...)I don't know a package called "filter", but a function "filter" is in the "stats" package There are however more packages to filter time data. I use "signal", which also has a "filter" function in addition to functions to design filters yourself (from simple first-order to higher-order butterworth etc). This package is intended to filter (electrical) signals, but might be used for any time series. In addition, there are several packages for the analysis of seasonal data. You might search CRAN for the names. Success and Best Wishes, Frank ------ Franklin Bretschneider Dept of Biology Utrecht University bretschr at xs4all.nl
Try DLM package : dlm: Bayesian and Likelihood Analysis of Dynamic Linear Models M.O On Mon, 2016-01-11 at 13:07 +0100, Franklin Bretschneider wrote:> Dear NECMETT?N ALPAY KO?AK, > > Re: > > > Dear All, > > I am Ph.D. student in Econometrics. My thesis is about "Linear Filtering on a Time Series" which R has already a nice package, namely "Filter". This package is really helpful for my study. But, I really help from you to create two filter using with "filter" package. > > I want to create two filter desribed in attachment (effects word file) using "filter" package. But, I dont know how? > > > > I really need your reply, > > Sincerely, > > > > Alpay KOCAK > > (etc...) > > > I don't know a package called "filter", but a function "filter" is in the "stats" package > There are however more packages to filter time data. I use "signal", which also has a "filter" function in addition to functions to design filters yourself (from simple first-order to higher-order butterworth etc). > This package is intended to filter (electrical) signals, but might be used for any time series. > In addition, there are several packages for the analysis of seasonal data. You might search CRAN for the names. > Success and > Best Wishes, > > > Frank > ------ > > > > Franklin Bretschneider > Dept of Biology > Utrecht University > bretschr at xs4all.nl > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.