File include error while using Arduino Nano

I am using the code below to interface the Arduino nano and android cell phone to enable serial communication through the USB port. I downloaded the filter library from GitHub GitHub - JonHub/Filters: A realtime digital signal processing (DSP) library for Arduino

I am getting an error saying thet the library is not found.
I would really appreciate some suggestions on this.

Here is my code:

//This code is for arduino communicating to android phone through USb serial port.
//For arduino nano

#include <Filters.h>   //implements digital filters which mimic the analog filter, keep track of variable statistics in realtime

char data_read; //character datatype takes up to 1 byte of memory
unsigned int analog_out;
unsigned long time;
float filterFrequency = 10.0;
FilterOnePole lowpassFilter( LOWPASS, filterFrequency );//implements digital RC type filter; both highpass and lowpass

void setup()
{
  Serial.begin(115200); //open the serial port and set the baud rate for communication
  // create a one pole (RC) lowpass filter

}
void loop()
{
}

void serialEvent() { //Used when data is unavailable yet
  if (Serial.available()) //checks the number of bytes available for reading from the serial port
  {
    data_read = Serial.read();

    if (data_read == '0') {
      Serial.print("#");

      //Serial.print("10100");
      analog_out = lowpassFilter.input( analogRead(0) );
      Serial.print(analog_out + 10000);

      Serial.print(":");

      //Serial.print("20200");
      analog_out = lowpassFilter.input( analogRead(1) );
      Serial.print(analog_out + 20000);

      Serial.print(":");

      //Serial.print("30300");
      analog_out = lowpassFilter.input( analogRead(2) );
      Serial.print(analog_out + 30000);

      Serial.print("p");
    }
    /*if(data_read == '0' || data_read == '1' || data_read == '2' || data_read == '3' || data_read == '4' || data_read == '5'){
      analog_out = lowpassFilter.input( analogRead( data_read-48 ) );
      Serial.print((analog_out)+(data_read-48)*10000);
      Serial.print(":");
      }else if(data_read =='p'){
      Serial.print("p");
      }*/
  }
}

Here is my error message:

Arduino: 1.8.5 (Windows 10), Board: "Arduino Nano, ATmega328P"

C:\Users\daphn\Documents\Arduino\Analog_Serial_out\Analog_Serial_out.ino:4:129: fatal error: Filters.h: No such file or directory

 #include <Filters.h>   //implements digital filters which mimic the analog filter, keep track of variable statistics in realtime

                                                                                                                                 ^

compilation terminated.

exit status 1
Error compiling for board Arduino Nano.

This report would have more information with
"Show verbose output during compilation"
option enabled in File -> Preferences.

I would really appreciate some suggestions on this

I suggest you locate and install correctly the library containing the header file "Filters.h"

+1 karma for using code tags on your first post.