|  MAY 1983

Finite Impulse Response Filter by ANTHONY WARREN, Ph.D. with JACK K. HUTSON

Finite Impulse Response Filter by ANTHONY WARREN, Ph.D. with JACK K. HUTSON Figure 1 and 2 show a comparison of computer output using Fourier analysis Power and then Amplitude plots. It can be seen that the Power Spectrum plot, which is Amplitude squared, makes it very easy to discern which cycles are significant and which are not. The Power Spectrum suggests that cycles with periods of less than 20 days may not be important, in the long move. Figure 3 is an example of computer output plotted from the following Finite Impulse Response (FIR) Filter subroutine using a Hanning weighted moving average. A 41 day Hanning weight was used based on the 20 day interpretation from a Fourier Power Spectrum (i.e. N = 2M + 1 e.g. 2(20) + 1 = 41 days). The subroutine may be expanded to incorporate any number of moving average weighting schemes between statements 1210 and 1230. This routine has been written to run using any computer that supports the BASIC language and in addition a few extraneous variables (T$, P(?)) have been added to improve graphic output if one is using the Compu Trac programming subsystem.

by Anthony W. Warren, Ph.D. and Jack Hutson