com.numericalmethod.suanshu.dsp.univariate.operation.system.doubles

Class MovingAverage

java.lang.Object

com.numericalmethod.suanshu.dsp.univariate.operation.system.doubles.MovingAverage

All Implemented Interfaces:

Filter, java.io.Serializable

public class MovingAverage
extends java.lang.Object
implements Filter

This applies a linear filter to a univariate time series using the moving average estimation.

 y[i] = f[1]*x[i+o] + … + f[p]*x[i+o-(p-1)]
 

o is the offset, depending on whether only past values or both past and future values centered around lag 0 are used. When a symmetric window is used and the filter length is even, more of the filter is forward in time than backward.

The R equivalent function is filter.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	MovingAverage.Side the types of moving average filtering available

Constructor Summary

Constructors

Constructor and Description
MovingAverage(double[] filter) Construct a moving average filter using a symmetric window.
MovingAverage(double[] filter, MovingAverage.Side side) Construct a moving average filter.

Method Summary

Modifier and Type	Method and Description
double[]	transform(double[] x) Transforms the input signal into the output signal.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MovingAverage

public MovingAverage(double[] filter,
                     MovingAverage.Side side)

Construct a moving average filter.

Parameters:

filter - the filter coefficients in reverse time order

side - specify the data window to use

MovingAverage

public MovingAverage(double[] filter)

Construct a moving average filter using a symmetric window.

Parameters:

filter - the filter coefficients in reverse time order

Method Detail

transform

public double[] transform(double[] x)

Description copied from interface: Filter

Transforms the input signal into the output signal.

Specified by:

transform in interface Filter

Parameters:

x - the input signal

Returns:

the filtered signal