Spectral analysis and ideal pass filter problem
Posted: Mon Jun 08, 2015 10:08 pm
Hi all
i work with high frequency financial data.
I have the problem whit spectral analysis add-in.
I use historical time series whit more observation, even 100.000 and then i work this add-in it is returned this error " Matrix dimensions too large in ...... "
Finally if use a short time series exp. 5000 observation the add-in (spectral analysis) returned another error relative at Matrix compute.
I have another problem with ideal pass filter, the computation it is very very slow.
It is possible to solve the problem?
Thanks
i work with high frequency financial data.
I have the problem whit spectral analysis add-in.
I use historical time series whit more observation, even 100.000 and then i work this add-in it is returned this error " Matrix dimensions too large in ...... "
Finally if use a short time series exp. 5000 observation the add-in (spectral analysis) returned another error relative at Matrix compute.
I have another problem with ideal pass filter, the computation it is very very slow.
It is possible to solve the problem?
Thanks