Question

I am trying to implement Chebyshev filter to smooth a time series but, unfortunately, there are NAs in the data series.

For example,

t <- seq(0, 1, len = 100)                     
x <- c(sin(2*pi*t*2.3) + 0.25*rnorm(length(t)),NA, cos(2*pi*t*2.3) + 0.25*rnorm(length(t)))

I am using Chebyshev filter: cf1 = cheby1(5, 3, 1/44, type = "low")

I am trying to filter the time series exclude NAs, but not mess up the orders/position. So, I have already tried na.rm=T, but it seems there’s no such argument.
Then

z <- filter(cf1, x)   # apply filter

Thank you guys.

Answer 1

You can remove the NAs beforehand using the compelete.cases function. You also might consider imputing the missing data. Check out the mtsdi or Amelia II packages.

EDIT:

Here’s a solution with Rcpp. This might be helpful is speed is important:

require(inline)
require(Rcpp)
t <- seq(0, 1, len = 100)
set.seed(7337)
x <- c(sin(2*pi*t*2.3) + 0.25*rnorm(length(t)),NA, cos(2*pi*t*2.3) + 0.25*rnorm(length(t)))
NAs <- x
x2 <- x[!is.na(x)]
#do something to x2
src <- '
Rcpp::NumericVector vecX(vx);
Rcpp::NumericVector vecNA(vNA);
int j = 0;   //counter for vx
for (int i=0;i<vecNA.size();i++) {
  if (!(R_IsNA(vecNA[i]))) {
    //replace and update j
    vecNA[i] = vecX[j];
    j++;
  }
 }
return Rcpp::wrap(vecNA);
'
fun <- cxxfunction(signature(vx="numeric",
                             vNA="numeric"),
                   src,plugin="Rcpp")
if (identical(x,fun(x2,NAs)))
    print("worked")
# [1] "worked"