[R-sig-finance] Butterworth low-pass filter

[Andy Bunn]

Hi r-sig: I tried this on r-help first a few days ago with no hits, so sorry
for xposting....


-----Original Message-----
From: Andy Bunn [mailto:abunn at whrc.org]
Sent: Friday, December 16, 2005 11:32 AM
To: R-Help
Subject: Butterworth low-pass filter


Has anybody implemented code to extract coefficients for a Butterworth
low-pass filter? I know Matlab has it implemented in the signal toolbox. I
want to make use of a 10 point Butterworth low-pass filter for smoothing.

In Matlab the code would look like this:
% Determine the filter coefficients
[b,a]=butter(10,0.1)
% Apply the filter to the input
outdata = filter (b,a,indata);

The archives contain similar questions but if somebody responded, they did
it off-list.

Thanks in advance,
Andy