Henderson filter in Julia

hma.jl

"""
Implementation of Henderson filter in Julia.
Followed https://github.com/bpalmer4 python implementation 
"""

using DataFrames

function hmaSymmetricWeights(n::Int)
    m = (n-1)÷2
    m1 = (m+1)^2
    m2 = (m+2)^2
    m3 = (m+3)^2
    d = float(8*(m+2)*(m2-1)*(4*m2-1)*(4*m2-9)*(4*m2-25))

    w = map(x -> (315*(m1-(x^2))*(m2-(x^2))*(m3-(x^2))*(3*m2-11*(x^2)-16))/d, range(0, m+1, step = 1))[end-1:-1:1]
    u = vcat(w, w[end-1:-1:1])
    return if n % 2 > 0
        u
    else 
        vcat(u, missing)
    end
end

function hmaAsymmetricWeights(m::Int, w::AbstractArray{<:Number})
    n = length(w)

    @assert m <= n "The m argument must be less than n"
    @assert m >= (n-1)÷2 "The m argument must be greater than (n-1)/2"

    sumResidual = sum(w[range(m + 1, n, step = 1)]) / m
    sumEnd = sum(map(x -> (x - ((m+1.0)/2.0)) * w[x], range(m+1, n, step = 1)))

    ic = if n >= 13 && n < 15
        3.5
    elseif n >= 15
        4.5
    else 1.0
    end
    b2s2 = 4/pi/ic^2
    denominator = 1.0 + ((m*(m-1.0)*(m+1.0) / 12.0 ) * b2s2)

    u = map(r -> w[r] + sumResidual + (((r-1+1.0) - (m+1.0)/2.0) * b2s2) / denominator * sumEnd, 
        range(1, m, step = 1))
    return (u)
end

"""
    Henderson(s, n)

Applies the Henderson filter to dataset `s` with `n` term.
"""
function Henderson(s::AbstractArray{<:Number}, n::Int)
    @assert isodd(n) "n must be odd"
    @assert n >= 5 "n must be >= 5"
    @assert length(s) >= n "dataset must be >= than n"

    w = hmaSymmetricWeights(n)
    m = (n-1) ÷ 2
    l = length(s)
    map(i -> if i - 1 < m
            u = hmaAsymmetricWeights(m + i, w)[end:-1:1]
            sum(s[1:i + m] .* u)
        elseif i - 1 + m >= l
            u = hmaAsymmetricWeights(m + l - i + 1, w)
            sum(s[i-m:l] .* u)
        else
            sum(s[i-m:i+m] .* w)
        end, range(1, l, step = 1))
end