-2

This is actually a repost of a question of mine from some weeks ago. I got good hints but I couldn't inf the perfect solution yet. I am looking for a Filter which just uses historic data for "smoothing". I tried several filters from the robfilter-package and the ets (exponential smoothing) filter from the forecast package, but I am not happy with the results and the computation time takes extremely long for the former mentioned package. I would actually need something with the power of loess or hodrick-prescott which just uses past data. I considered the dfa function from the signalextraction package but my time series is with by now 55 weeks too short. I would be glad if somebody of you could give me a hint! It is 4.40 am here and I got more and more frustrated because the long computation times in combination with bad results are not very motivating in the long run ;-).

Paul Hiemstra
  • 59,984
  • 12
  • 142
  • 149
chameau13
  • 626
  • 7
  • 24
  • In addition to @DWin, show us what you did already. With that I mean reproducible code examples in the packages you used. – Paul Hiemstra Mar 05 '12 at 08:35
  • @DWin: When you are unable to contribute to the solution of my question a constructive comment would have been to tell me what is wrong with my question. This is the third or fourth time I post a question on stackoverflow. – chameau13 Mar 05 '12 at 10:34
  • @Paul Hiemstra: The problem for a reproducible example is my big data set: I have 7000 time series with each 55 observations. On each of them the same operation has to be conducted. I just wanted to ask if you would have same "names" of other relevant packages. – chameau13 Mar 05 '12 at 10:35
  • then just post a few of your 7000 times series, like 3. Then show the code you use on them. – tim riffe Mar 05 '12 at 14:02
  • Reducing your problem to a small reproducible problem will also help yourself in understanding what is going wrong. Without an example we are left guessing why your analysis takes so long: is your code inefficient, are you not using the packages correctly, or is the package slow, or are your expedtations of slow or fast not correct. Like this the question much too broad. – Paul Hiemstra Mar 05 '12 at 15:35
  • ok - I ended up using the Kalman Filter. With the right configuration this works just fine. Thanks for your input! – chameau13 Mar 08 '12 at 18:57

1 Answers1

0

ok - I ended up using the Kalman Filter. With the right configuration this works just fine. Thanks for your input!

chameau13
  • 626
  • 7
  • 24