filter
Linear filtering
filter
is not recommended. Use timetable
instead. For more information, see Convert Financial Time Series Objects fints to Timetables.
Syntax
newfts = filter(B,A,oldfts)
Description
filter
filters an entire financial time series object with certain
filter specifications. The filter is specified in a transfer function expression.
newfts = filter(B,A,oldfts)
filters the data in the financial time
series object oldfts
with the filter described by vectors
A
and B
to create the new financial time
series object newfts
. The filter is a “Direct Form II
Transposed” implementation of the standard difference equation.
newfts
is a financial time series object containing the same data
series (names) as the input oldfts
.