signalextraction: Real-Time Signal Extraction (Direct Filter Approach)

The Direct Filter Approach (DFA) provides efficient estimates of signals at the current boundary of time series in real-time. For that purpose, one-sided ARMA-filters are computed by minimizing customized error criteria. The DFA can be used for estimating either the level or turning-points of a series, knowing that both criteria are incongruent. In the context of real-time turning- point detection, various risk-profiles can be operationalized, which account for the speed and/or the reliability of the one- sided filter.

Version: 2.0.3
Suggests: tcltk
Published: 2007-11-20
Author: Marc Wildi & Marcel Dettling
Maintainer: Marcel Dettling <dtli at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: ChangeLog
In views: TimeSeries
CRAN checks: signalextraction results


Reference manual: signalextraction.pdf
Vignettes: signalextraction
Package source: signalextraction_2.0.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: signalextraction_2.0.3.tgz, r-oldrel: signalextraction_2.0.3.tgz
OS X Mavericks binaries: r-release: signalextraction_2.0.3.tgz
Old sources: signalextraction archive