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 execute(Dmatrix &in, Dmatrix &out, double scale)

Return

Parameters

• in: Input Data

• out: Filtered Data

Public Functions

ARMAFilter(const std::vector<double> &mAR, const std::vector<double> &mMA, double gain)

Constructor

~ARMAFilter()

Destructor