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Fast Hodrick Prescott Filter 1.0
File ID: 79295






Fast Hodrick Prescott Filter 1.0
Download Fast Hodrick Prescott Filter 1.0http://www.mathworks.comReport Error Link
License: Shareware
File Size: 10.0 KB
Downloads: 45
Submit Rating:
Fast Hodrick Prescott Filter 1.0 Description
Description: The Hodrick Prescott Filter (HP-Filter) is the most popular method to separate a time series x_t into its components. Let's suppose that the original series is composed of a trend component g_t and a cyclical component c_t.
Solving the minimization problem is quite simple. This program decomposes a times series by the Hodrick Prescott Filter. To accelerate the computation the Add-In makes use of the penta-diagonal structure of the coefficient-matrix. So detrending a lot of data points is not a problem for this program.

License: Shareware

Related: decomposes, times, Accelerate, Program, Simple, Problem, computation, Addin, detrending, points, coefficientmatrix, Structure, makes, pentadiagonal, minimization, tsolving, method, separate, series

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 45



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