Hodrick-Prescott Filter
This m-file finds the Hodrick-Prescott filtered series of any trendy time series; H-P is widely known in econometrics and can be used to analyse the trends and volatility of the series.
This version uses sparse matrices, this approach increases speed and performance and allows working with several time series simultaneously. The option 'makeplot' plots every time series introduced against its filtered counterpart and the output desvabs gives a "measure" of the volatility.
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Inspired in hpfilter by Ivailo Izvorski and Gauss code by Ken Matheny
Cita come
Wilmer Henao (2024). Hodrick-Prescott Filter (https://www.mathworks.com/matlabcentral/fileexchange/3972-hodrick-prescott-filter), MATLAB Central File Exchange. Recuperato .
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- Signal Processing > Signal Processing Toolbox > Digital and Analog Filters > Digital Filter Analysis >
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Ispirato: Analyze FEX download data
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Versione | Pubblicato | Note della release | |
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1.0.0.0 |