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.
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