Stats Master VCL
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Memory-shortening filter.
Parameters |
Description |
Data |
Original time series. |
S |
Returns transformed time series. |
tau |
Returns optimal tau shortening index. |
Filter |
If set, it returns coefficients of memory shortening filter. Size of Phi is adjusted automatically. |
MaxTau |
Maximum number of iterations in ERR minimization (default value 15). |
Decide if time series is "long-memory", and if so, apply a memory-shortening transformation, as defined in Brockwell, page 318.
Shorten time series and retrieve optimal tau lag and shortening filter polynomial coefficients.
Uses MtxExpr, StatTimeSerAnalysis; var ts,s,phi: Vector; tau: Integer; begin ts.LoadFromFile('Deaths.vec'); ShortenFilter(ts,s,tau,phi); end;
#include "MtxExpr.hpp" #include "Math387.hpp" #include "StatTimeSerAnalysis.hpp" void __fastcall Example(); { sVector ts,s,phi; int tau; ts.LoadFromFile("Deaths.vec"); ShortenFilter(ts,s,tau,phi); }
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