signalextraction-package {signalextraction} | R Documentation |
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.
Package: | signalextraction |
Type: | Package |
Version: | 2.0.0 |
Date: | 2007-03-08 |
License: | GPL 2.0 or newer |
Marc Wildi & Marcel Dettling, <[wia/dem]@zhwin.ch>
Marc Wildi, Real-Time Signal Extraction (Beyond Maximum Likelihood Principles), Springer. To appear in 2007.