Performs signal extraction and optimal filtering as discussed in Chapter 4.
SigExtract(series, L = c(3, 3), M = 50, max.freq = 0.05, col = 4)Returns plots of (1) the original and filtered series, (2) the estiamted spectra of each series, (3) the filter coefficients and the desired and attained frequency response function. The filtered series is returned invisibly.
univariate time series to be filtered
degree of smoothing (may be a vector); see spans in spec.pgram
for more details
number of terms used in the lagged regression approximation
truncation frequency, which must be larger than 1/M
color of the main graphs
D.S. Stoffer
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.
You can find demonstrations of astsa capabilities at FUN WITH ASTSA.
The most recent version of the package can be found at https://github.com/nickpoison/astsa/.
In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.
The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.