int
gsl_filter_gaussian(const gsl_filter_end_t endtype, const double alpha, const size_t order, const gsl_vector * x,
gsl_vector * y, gsl_filter_gaussian_workspace * w)
{
if (x->size != y->size)
{
GSL_ERROR("input and output vectors must have same length", GSL_EBADLEN);
}
else if (alpha <= 0.0)
{
GSL_ERROR("alpha must be positive", GSL_EDOM);
}
else
{
int status;
gsl_vector_view kernel = gsl_vector_view_array(w->kernel, w->K);
/* construct Gaussian kernel of length K */
gsl_filter_gaussian_kernel(alpha, order, 1, &kernel.vector);
status = gsl_movstat_apply_accum(endtype, x, &gaussian_accum_type, (void *) w->kernel, y,
NULL, w->movstat_workspace_p);
return status;
}
}
int
main(void)
{
const size_t N = 500; /* length of time series */
const size_t K = 51; /* window size */
const double alpha[3] = { 0.5, 3.0, 10.0 }; /* alpha values */
gsl_vector *x = gsl_vector_alloc(N); /* input vector */
gsl_vector *y1 = gsl_vector_alloc(N); /* filtered output vector for alpha1 */
gsl_vector *y2 = gsl_vector_alloc(N); /* filtered output vector for alpha2 */
gsl_vector *y3 = gsl_vector_alloc(N); /* filtered output vector for alpha3 */
gsl_vector *k1 = gsl_vector_alloc(K); /* Gaussian kernel for alpha1 */
gsl_vector *k2 = gsl_vector_alloc(K); /* Gaussian kernel for alpha2 */
gsl_vector *k3 = gsl_vector_alloc(K); /* Gaussian kernel for alpha3 */
gsl_rng *r = gsl_rng_alloc(gsl_rng_default);
gsl_filter_gaussian_workspace *gauss_p = gsl_filter_gaussian_alloc(K);
size_t i;
double sum = 0.0;
/* generate input signal */
for (i = 0; i < N; ++i)
{
double ui = gsl_ran_gaussian(r, 1.0);
sum += ui;
gsl_vector_set(x, i, sum);
}
/* compute kernels without normalization */
gsl_filter_gaussian_kernel(alpha[0], 0, 0, k1);
gsl_filter_gaussian_kernel(alpha[1], 0, 0, k2);
gsl_filter_gaussian_kernel(alpha[2], 0, 0, k3);
/* apply filters */
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[0], 0, x, y1, gauss_p);
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[1], 0, x, y2, gauss_p);
gsl_filter_gaussian(GSL_FILTER_END_PADVALUE, alpha[2], 0, x, y3, gauss_p);
/* print kernels */
for (i = 0; i < K; ++i)
{
double k1i = gsl_vector_get(k1, i);
double k2i = gsl_vector_get(k2, i);
double k3i = gsl_vector_get(k3, i);
printf("%e %e %e\n", k1i, k2i, k3i);
}
printf("\n\n");
/* print filter results */
for (i = 0; i < N; ++i)
{
double xi = gsl_vector_get(x, i);
double y1i = gsl_vector_get(y1, i);
double y2i = gsl_vector_get(y2, i);
double y3i = gsl_vector_get(y3, i);
printf("%.12e %.12e %.12e %.12e\n", xi, y1i, y2i, y3i);
}
gsl_vector_free(x);
gsl_vector_free(y1);
gsl_vector_free(y2);
gsl_vector_free(y3);
gsl_vector_free(k1);
gsl_vector_free(k2);
gsl_vector_free(k3);
gsl_rng_free(r);
gsl_filter_gaussian_free(gauss_p);
return 0;
}
