This is, in some contexts, rather unsatisfactory. However, I see no
easy
way out. Ideally, one should be able to indicate what pre-sample values
for x and y should be. I'm a bit wary of adding 2 extra parameter to a
function, so we mat want to turn this functionality into a command,
something like
filter x A C ; y0 x0
and receive output via some dollar accessor. But OTOH it's nice from a
programming viewpoint to use all the genr infrastructure.
Another issue is computational: there may be some advantage in using
Fourier transforms for this. However, I'm no expert here and if any of you
can give me any hint of the pros and cons, I'd be most grateful.
Your opinions? (Sorry for the long message)
Good work Jack!
I was missing this filter command as well.
With respect to the initial values may be you want to have a look at the help
of the "filter" command in R: (in the 'stats' package)
http://stat.ethz.ch/R-manual/R-patched/library/stats/html/filter.html
they allow to assign initial values different from zero only to the "y"
variable.
--
Ignacio Diaz-Emparanza
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
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