void ShortenFilter(TVec *Data, TVec *S, int &Tau, TVec *Filter = null, const int MaxTau = 15);
Memory-shortening filter.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | Original time series. |
| 2 | S | TVec * | Returns transformed time series. |
| 3 | Tau | int & | Returns optimal Tau shortening index. |
| 4 | Filter = null | TVec * | If set, it returns coefficients of memory shortening filter. Size of Phi is adjusted automatically. |
| 5 | MaxTau = 15 | const int | Maximum number of iterations in ERR minimization (default value 15). |
Remarks:
Decide if time series is "long-memory", and if so, apply a memory-shortening transformation, as defined in Brockwell, page 318.
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler