ARMAFilter

class ARMAFilter : public tsa::AlgoBase

Implement the ARMA filtering.

This class implement a general ARMA filter. Given an input sequence x(n) and an output sequence y(n) an ARMA filter is defined by the relation (look at the signs definitions..)

a(0) y(n) = a(1) y(n-1) + … + a(N) y(n-N) + b(0) x(n) + b(1) x(n-1) + …. + b(M) x(n-M)

Operations

void SetARFilter(unsigned int i, double AR)
void SetMAFilter(unsigned int i, double MA)
void operator()(SeqViewDouble &in, SeqViewDouble &out)
void execute(Dmatrix &in, Dmatrix &out, double scale)
Parameters:
  • in – Input Data

  • out – Filtered Data

Returns:

Public Functions

ARMAFilter(unsigned int ARorder, unsigned int MAorder, double gain)

Constructor

virtual ~ARMAFilter()

Destructor