Are there any online recursive filters that can approximate local, time-varying minimum and maximum values of a time series?
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$\begingroup$ What do you mean by "online" ? Do you want to submit a time series to a web site ? $\endgroup$– HilmarCommented Apr 25, 2020 at 14:29
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$\begingroup$ @Hilmar online meaning real-time and not using future temporal data $\endgroup$– JaseCommented Apr 25, 2020 at 23:52
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I think you are looking for a "peak" detectors. They are not filters in the conventional sense. Typically the output is increased when the incoming sample is either above a certain threshold or above the current output and decreased if it's smaller. The increase and decrease are often just simple exponential with time constants determined by your application. The increase time constant is typically called "attack" time and the decrease time constant is "decay" time.
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$\begingroup$ Do you know the name of a good peak detector that I can research, which fits the requirements of (i) not using future data, (ii) real-time and recursive calculation? Thanks $\endgroup$– JaseCommented Apr 27, 2020 at 0:40