StatTimeSerAnalysis.ShortenFilter Method

void ShortenFilter(TVec Data, TVec S, ref Int32 Tau, TVec Filter, Int32 MaxTau)

Memory-shortening filter.

#	Name	Description
1	Data	Original time series.
2	S	Returns transformed time series.
3	Tau	Returns optimal Tau shortening index.
4	Filter	If set, it returns coefficients of memory shortening filter. Size of Phi is adjusted automatically.
5	MaxTau	Maximum number of iterations in ERR minimization (default value 15).

Result: stored in self (calling object)

Remarks:

Decide if time series is "long-memory", and if so, apply a memory-shortening transformation, as defined in Brockwell, page 318.

Examples

using Dew.Math;
using Dew.Stats;
using Dew.Stats.Units;
namespace Dew.Examples
{
    private void Example()
    {
        Vector ts = new Vector(0);
        Vector s = new Vector(0);
        Vector phi = new Vector(0);
        int tau;
        ts.LoadFromFile("Deaths.vec");
        StatTimeSerAnalysis.ShortenFilter(ts,s,out tau,phi,15);
    }
}