我有这个时间序列
t
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1922 -0.25108773 -0.27732553 -0.29703807 -0.30274000 -0.30323653 -0.28441682 -0.24106527 -0.18705071 -0.17440826 -0.17291725 -0.19116734 -0.21678948
1923 -0.24487998 -0.26658925 -0.28613991 -0.29674346 -0.29335742 -0.28325761 -0.23326680 -0.18697904 -0.18443807 -0.18144226 -0.18190910 -0.21574376
1924 -0.24465806 -0.27349425 -0.29925888 -0.30386766 -0.30250722 -0.27464960 -0.23390958 -0.19300616 -0.17910621 -0.17869576 -0.19611839 -0.20447324
1925 -0.25326812 -0.27344637 -0.29352971 -0.30947682 -0.30872025 -0.27604449 -0.24065208 -0.19676031 -0.17172229 -0.18484153 -0.19542607 -0.21841577
1926 -0.25214568 -0.27450911 -0.29438956 -0.30392114 -0.30619846 -0.29089168 -0.24829621 -0.20204202 -0.18621514 -0.18808172 -0.19708748 -0.22629595
1927 -0.25107357 -0.27204514 -0.29494695 -0.30751442 -0.30800040 -0.28569694 -0.24655626 -0.19547608 -0.19018517 -0.18866641 -0.20132372 -0.22084811
1928 -0.24733214 -0.27490388 -0.28780308 -0.30407576 -0.30857301 -0.28629658 -0.23872777 -0.19590465 -0.18437917 -0.18274289 -0.19936931 -0.22368973
1929 -0.25531870 -0.27264628 -0.29418746 -0.30385231 -0.31022219 -0.27931003 -0.23404912 -0.19538227 -0.17226595 -0.18465123 -0.19072933 -0.22043396
1930 -0.24735028 -0.27386782 -0.29193707 -0.29925459 -0.30039372 -0.28014958 -0.23551136 -0.19511701 -0.18006660 -0.18282789 -0.20113355 -0.22095253
1931 -0.24903438 -0.27439043 -0.29219506 -0.30312159 -0.30557600 -0.28180333 -0.22676008 -0.19048014 -0.18982644 -0.18459638 -0.19550196 -0.22127202
1932 -0.25870503 -0.27650825 -0.28521052 -0.30685609 -0.30896898 -0.28378619 -0.23614859 -0.18945699 -0.17575919 -0.17820312 -0.19620912 -0.21774873
1933 -0.24187599 -0.25575287 -0.28325644 -0.29554461 -0.29018996 -0.27040369 -0.23514812 -0.19935749 -0.18732198 -0.18606057 -0.19327237 -0.22321366
1934 -0.24793807 -0.26986056 -0.29217378 -0.30479126 -0.30199154 -0.27574924 -0.24097380 -0.18560708 -0.18643606 -0.18501770 -0.19375478 -0.22418002
1935 -0.25587642 -0.27805131 -0.29239104 -0.30784907 -0.30459449 -0.28216514 -0.23839965 -0.20137460 -0.18619998 -0.18328896 -0.20121286 -0.22869388
1936 -0.25322320 -0.28025116 -0.29713940 -0.30800346 -0.31177201 -0.28473251 -0.23552472 -0.20313945 -0.18251793 -0.18383941 -0.20554430 -0.23061875
1937 -0.26268769 -0.28529769 -0.30230641 -0.31107806 -0.30183547 -0.28324508 -0.23840574 -0.19862786 -0.19297314 -0.19392849 -0.19603212 -0.22877177
1938 -0.25445601 -0.28160871 -0.29837676 -0.29879519 -0.30328832 -0.28288226 -0.23577573 -0.19521124 -0.18393512 -0.19039895 -0.20537533 -0.21924241
1939 -0.25180969 -0.28199995 -0.29601764 -0.30147945 -0.30372884 -0.27837795 -0.23720063 -0.19929773 -0.18770674 -0.19341142 -0.20753282 -0.22484697
1940 -0.15145157 -0.16596690 -0.17572643 -0.18225920 -0.18823836 -0.17504012 -0.16019626 -0.12920340 -0.12369614 -0.12024704 -0.12891992 -0.14234080
1941 -0.10045275 -0.11095497 -0.11585389 -0.11932455 -0.11976700 -0.11653216 -0.10259231 -0.08271703 -0.07621320 -0.07184160 -0.07284514 -0.07385666
1942 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1943 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1944 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1945 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1946 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1947 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1948 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1949 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1950 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1951 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1952 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1953 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1954 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1955 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1956 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1957 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1958 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1959 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1960 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
1961 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
我正在使用
bkfilter包中的mFilter函数运行带通滤波器t.bk <- bkfilter(t, pl=9.7,pu=16)
第一个图显示了“原始”时间序列
t，而第二个图显示了t.bk的周期分量。红线表示
t的位置为零，并且t:Cycle的位置也应为零。但是，后者在红线之后仍在晃动。有什么帮助吗？ 最佳答案
这是预料之中的。您是否熟悉与BK滤波器(或与此相关的任何有限长度的滤波器)有关的吉布斯现象？它们围绕滤波器的功率传递函数振荡。
这是一篇论文，讨论了对标准BK滤波器的修改，以减少这种振荡，尽管输入响应更加有限，但是:http://www.gla.ac.uk/media/media_219052_en.pdf
幸运的是，您可以在CRAN网站上找到mFilter软件包的源代码:https://cran.r-project.org/web/packages/mFilter/index.html您要修改的文件是用R编写的，而不是像某些软件包那样是C的，并且可以在mFilter/R/bkfilter.R中找到。您要修改的部分功能在这里:
if(type=="fixed")
{
bb = matrix(0,2*nfix+1,1)
bb[(nfix+1):(2*nfix+1)] = B[1:(nfix+1)]
bb[nfix:1] = B[2:(nfix+1)]
bb = bb-sum(bb)/(2*nfix+1)
for(i in (nfix+1):(n-nfix))
AA[i,(i-nfix):(i+nfix)] = t(bb)
}
编译和安装已修改的软件包很简单。转到mFilter目录所在的目录，然后从shell命令行输入:
R CMD INSTALL mFilter。下次您进入R时，mFilter包将使用修改后的bkFilter()函数。关于r - R : weird behaviour at the end of time series中的带通滤波器，我们在Stack Overflow上找到一个类似的问题：https://stackoverflow.com/questions/37924896/