procedure ShortenFilter(const Data: TVec; const S: TVec; out Tau: Integer; const Filter: TVec; const MaxTau: Integer);
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
Uses MtxExpr, StatTimeSerAnalysis;
var ts,s,phi: Vector;
tau: Integer;
begin
ts.LoadFromFile('Deaths.vec');
ShortenFilter(ts,s,tau,phi);
end;