SigExtract: Signal Extraction And Optimal Filtering
Description
Performs signal extraction and optimal filtering as discussed in Chapter 4.
Usage
SigExtract(series, L = c(3, 3), M = 50, max.freq = 0.05)
Arguments
series
univariate time series to be filtered L
degree of smoothing (may be a vector); see spans in spec.pgram
for more details M
number of terms used in the lagged regression approximation max.freq
truncation frequency, which must be larger than 1/M. Details
The basic function of the script, and the default setting, is to remove frequencies above 1/20 (and, in particular, the seasonal frequency of 1 cycle every 12 time points). The sampling frequency of the time series is set to unity prior to the analysis.