Filters

This repo contains several headers and CLI allowing to test and add filters in any project.

How to

In order to use the CLI you can run the following commands,

git clone https://github.com/dcmde/Filters.git
cd Filters
mkdir build
cd build
cmake ..
make

Exponential smoothing

Theory

The recursion is as follow,

Recursion:
    st = alpha.xt + (1 - alpha).st-1 
Initialization:
    s0 = x0

How to

Create file containing a single row of data (double format),

./exp_smoothing test.txt 0.9 0

The first parameter is the name of the input file, the second parameter is alpha and the last one the value to initialize the filter.

The ouput file is named exp_smt.txt.

Theory

The recursion is as follow,

Recursion:
    st = alpha.xt + (1 - alpha)(st-1 + bt-1)
    bt = beta.(st - st-1) + (1 - beta).bt-1 
Initialization:
    s0 = x0 b0 = x1 - x0 
Forecast:
    Ft+m = st + m.bt

How to

Create file containing a single row of data (double format),

./double_exp_smoothing test.txt alpha beta x0 x1 m

Parameter list:

• file name
• alpha data smoothing factor
• beta trend smoothing factor
• x0, x1 filter initialization
• m number of point to forecast

The output file is `` and it contains m rows being the forecasted values, `t t+1 t+... t+m`.

0 0 0 
0.5 0.95 1.4 
0.975 1.4475 1.92 
1.22375 1.49487 1.766 
1.24744 1.29587 1.3443 
1.14793 1.06322 0.978515