3 ms·
Why not just use a low-pass linear-phase FIR filter instead of FFT/iFFT? Same result but achieved in time-domain, somewhat more performant.
by FredFS456 6y ago
Why not just use a low-pass linear-phase FIR filter instead of FFT/iFFT? Same result but achieved in time-domain, somewhat more performant.
- hctaw 6y agoThat depends on the filter order. Evaluating a FIR is O(N M^2) where N is the number of data points and M is the size of the FIR. Doing the same with an FFT is O(N Mlog(M)). Neither is particularly "performant." FFTs and FIRs are big guns!
- hntrader 6y agoWould FFT even be appropriate for nonstationary time series? Wavelets seem more appropriate for such time series (not sure about how peformant they would be though, the R package runs pretty slow even for small datasets)