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Apply Local Polynomials Filters

Source: R/lp_filters.R
localpolynomials.Rd

Apply Local Polynomials Filters

Usage

localpolynomials(
  x,
  horizon = 6,
  degree = 3,
  kernel = c("Henderson", "Uniform", "Biweight", "Trapezoidal", "Triweight", "Tricube",
    "Gaussian", "Triangular", "Parabolic"),
  endpoints = c("LC", "QL", "CQ", "CC", "DAF"),
  ic = 4.5,
  tweight = 0,
  passband = pi/12
)

Arguments

x

input time-series.

horizon

horizon (bandwidth) of the symmetric filter.

degree

degree of polynomial.

kernel

kernel uses.

endpoints

methode for endpoints.

ic

ic ratio.

tweight

timeliness weight.

passband

passband threshold.

Value

the target signal

References

Proietti, Tommaso and Alessandra Luati (2008). “Real time estimation in local polynomial regression, with application to trend-cycle analysis”.

See also

lp_filter().

Examples

x <- retailsa$AllOtherGenMerchandiseStores
trend <- localpolynomials(x, horizon = 6)
plot(x)
lines(trend, col = "red")