I am using Loess.jl to do some filtering of a few hundred daily time
series, with gaps, and length ~4000 days.
I want to remove variability with periods below 20 days. In matlab this is
easy to define:
Z = SMOOTH(X,Y,0.3,'loess') uses the loess method where span is
30% of the data, i.e. span = ceil(0.3*length(Y)).
The loess.jl function accepts the *span* parameter, with recommended value
between 0 and 1. I have tried using span=1/20 (i.e., my desired cutoff
period), but this approach would contradict the fact that smaller (larger)
values of span lead to less (more) smoothing. My question is how to
specify span precisely for various cutoff periods?
Thanks, Evan
