signalextraction-package {signalextraction}R Documentation

Direct Filter Approach

Description

The Direct Filter Approach (DFA) provides efficient estimates of signals at the current boundary of time series in real time. For that purpose, one-sided ARMA-filters are computed by minimizing customized error criteria. The DFA can be used for estimating either the level or turning-points of a series, owing to the fact that that both criteria are incongruent and cannot be optimized simultaneously. In the context of real time turning-point detection, various risk profiles can be operationalized, which account for the speed and/or the reliability of the one-sided filter.

Details

Package: signalextraction
Type: Package
Version: 2.0.0
Date: 2007-03-08
License: GPL 2.0 or newer

Author(s)

Marc Wildi & Marcel Dettling, <[wia/dem]@zhwin.ch>

References

Marc Wildi, Real-Time Signal Extraction (Beyond Maximum Likelihood Principles), Springer. To appear in 2007.


[Package signalextraction version 2.0.3 Index]