screamer.js
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    Function FracDiff

    • Fractional differencing filter. Removes the trend while keeping more of the series' memory than an integer difference.

      Parameters

      • d: number = 0.4

        Differencing order. 0 is the identity, 1 the first difference, 2 the second.

      • windowSize: number = 100

        Maximum number of taps, which bounds memory and per-step cost.

      • threshold: number = 1e-05

        Truncate the weight series at the first weight smaller than this in absolute value.

      • startPolicy: string = "strict"

        Warmup behaviour.

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.