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StatTimeSerAnalysis.ShortenFilter Function

Memory-shortening filter.

Pascal
procedure ShortenFilter(const Data: TVec; const S: TVec; out tau: Integer; const Filter: TVec = nil; const MaxTau: Integer = 15);
Parameters 
Description 
Data 
Original time series. 
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);
}
Examples on GitHub
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