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filter

Linear filtering

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.

Introduced before R2006a

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