Cors filter implements Cross Origin Resource Sharing.

Make sure to read carefully what CORS does and does not. CORS do not secure your API, but allow the developer to grant access to third party code (ajax calls from external domain).

You may use CORS filter by attaching it as a behavior to a controller or module, like the following,

public function behaviors()
{
    return [
        'corsFilter' => [
            'class' => \yii\filters\Cors::className(),
        ],
    ];
}

The CORS filter can be specialized to restrict parameters, like this, MDN CORS Information

public function behaviors()
{
    return [
        'corsFilter' => [
            'class' => \yii\filters\Cors::className(),
            'cors' => [
                // restrict access to
                'Origin' => ['http://www.myserver.com', 'https://www.myserver.com'],
                'Access-Control-Request-Method' => ['POST', 'PUT'],
                // Allow only POST and PUT methods
                'Access-Control-Request-Headers' => ['X-Wsse'],
                // Allow only headers 'X-Wsse'
                'Access-Control-Allow-Credentials' => true,
                // Allow OPTIONS caching
                'Access-Control-Max-Age' => 3600,
                // Allow the X-Pagination-Current-Page header to be exposed to the browser.
                'Access-Control-Expose-Headers' => ['X-Pagination-Current-Page'],
            ],

        ],
    ];
}

For more information on how to add the CORS filter to a controller, see the Guide on REST controllers.