NAG CL Interface
g10cac (data_​runningmedian)

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1 Purpose

g10cac computes a smoothed data sequence using running median smoothers.

2 Specification

#include <nag.h>
void  g10cac (Nag_Smooth_Type smoother, Integer n, const double y[], double smooth[], double rough[], NagError *fail)
The function may be called by the names: g10cac, nag_smooth_data_runningmedian or nag_running_median_smoother.

3 Description

Given a sequence of n observations recorded at equally spaced intervals, g10cac fits a smooth curve through the data using one of two smoothers. They are based on the use of running medians and averages to summarise the overlapping segments. The fit is called the smooth, the residuals the rough and they obey the following:
Data = Smooth + Rough
The two smoothers are :
  1. 1.4253H, twice consisting of a running median of 4, then 2, then 5, then 3 followed by Hanning. Hanning is a running weighted average, the weights being 1/4, 1/2 and 1/4. The result of this smoothing is then reroughed by computing residuals, applying the same smoother to them and adding the result to the smooth of the first pass.
  2. 2.3RSSH, twice consisting of a running median of 3, two splitting operations named S to improve the smooth sequence, each of which is followed by a running median of 3, and finally Hanning. The end points are dealt with using the method described by Velleman and Hoaglin (1981). The full smoother 3RSSH, twice is produced by reroughing as described above.
The compound smoother 4253H, twice is recommended. The smoother 3RSSH, twice is popular when calculating by hand as it requires simpler computations and is included for comparison purposes.

4 References

Tukey J W (1977) Exploratory Data Analysis Addison–Wesley
Velleman P F and Hoaglin D C (1981) Applications, Basics, and Computing of Exploratory Data Analysis Duxbury Press, Boston, MA

5 Arguments

1: smoother Nag_Smooth_Type Input
On entry: smoother must specify the method to be used.
4253H, twice is used.
3RSSH, twice is used.
Constraint: smoother=Nag_4253H or Nag_3RSSH.
2: n Integer Input
On entry: the number, n , of the observations.
Constraint: n>6 .
If n6 then the sequence is not long enough to carry out smoothing.
3: y[n] const double Input
On entry: the sample observations.
4: smooth[n] double Output
On exit: contains the smooth.
5: rough[n] double Output
On exit: contains the rough.
6: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

On entry, argument smoother had an illegal value.
On entry, n=value.
Constraint: n>6.

7 Accuracy

Not applicable.

8 Parallelism and Performance

g10cac is not threaded in any implementation.

9 Further Comments

9.1 Internal Changes

Internal changes have been made to this function as follows:
For details of all known issues which have been reported for the NAG Library please refer to the Known Issues.

10 Example

The example program reads in a sequence of 49 data taken from Tukey (1977), above. Results are obtained using the two smoothing methods described.

10.1 Program Text

Program Text (g10cace.c)

10.2 Program Data

Program Data (g10cace.d)

10.3 Program Results

Program Results (g10cace.r)