scalation/scalation/scalation.modeling/scalation.modeling.forecasting/SGFilter

SGFilter

scalation.modeling.forecasting.SGFilter

class SGFilter(y: VectorD) extends Filter

The SGFilter class provides basic time series capabilities for Savitzky–Golay filters that are used to smooth data. Note, would need to be adapted for use as a forecaster as it uses future data.

Value parameters

y: the response vector (time series data)

Attributes

See also: WeightedMovingAverage
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Supertypes: trait Filter

class Object

trait Matchable

class Any

Members list

Value members

Concrete methods

Return a smoothed version of the given time series vector.

z(t) = c dot y(t-2 until t+3) = c dot [ y(t-2), y(t-1), y(t), y(t+1), y(t+2) ]

Value parameters

a: the smoothing parameter
y_: the actual time series values to be smoothed

Attributes

Concrete fields

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