TSPOLE(1) TSPOLE(1)
NAME
tspole - single pole filter a time series
SYNOPSIS
tspole [-p n] [-t] [-v] [filename]
DESCRIPTION
Tspole is for single pole low pass filtering of a time series. The sin-
gle pole low pass filter is implemented from the following discrete
time equation:
v = I * k2 + v * k1
n + 1 n
where I is the value of the current sample in the time series, v are
the value of the output time series, and k1 and k2 are constants deter-
mined from the following equations:
-2 * p * pi
k1 = e
and
k2 = 1 - k1
where p is a constant that determines the frequency of the pole-a value
of unity, the default, places the pole at the sample frequency of the
time series.
The input file structure is a text file consisting of records, in tem-
poral order, one record per time series sample. Blank records are
ignored, and comment records are signified by a '#' character as the
first non white space character in the record. Data records must con-
tain at least one field, which is the data value of the sample, but may
contain many fields-if the record contains many fields, then the first
field is regarded as the sample's time, and the last field as the sam-
ple's value at that time.
This program is based on "An Analog, Discrete Time, Single Pole Fil-
ter," John Conover, Fairchild Journal of Semiconductor Progress,
July/August, 1978, Volume 6, Number 4, pp. 11.
OPTIONS
-p n Increase/decrease the pole frequency by a factor of n.
-t Sample's time will be included in the output time series.
-v Print the version and copyright banner of the program.
filename
Input filename.
WARNINGS
There is little or no provision for handling numerical exceptions.
SEE ALSO
tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre-
turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown-
ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin-
tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1),
tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1),
tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1),
tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavg-
window(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1),
tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1),
tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin-
stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1),
tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot-
mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot-
meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1)
tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1)
DIAGNOSTICS
Error messages for incompatible arguments, failure to allocate memory,
inaccessible files, and opening and closing files.
AUTHORS
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A license is hereby granted to reproduce this software source code and
to create executable versions from this source code for personal,
non-commercial use. The copyright notice included with the software
must be maintained in all copies produced.
THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES
WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF
MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE
AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE
INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.
Copyright (c) 1994-2006, John Conover, All Rights Reserved.
Comments and/or bug reports should be addressed to:
john@email.johncon.com (John Conover)
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January 17, 2006 TSPOLE(1)