trdhp {FRAPO} | R Documentation |
Calculation of the Hodrick-Prescott filter as a technical trading indicator.
trdhp(y, lambda)
y |
Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported. |
lambda |
Numeric, the value for |
The Hodrick-Prescott filter is calculated according to the formula:
\min (\tau_t) = \sum_{t = 1}^T (y_t - \tau_t)^2 + \lambda
\sum_{t = 2}^{T-1} (\Delta^2 \tau_{t+1})^2
An object of the same class as y
, containing the computed
Hodrick-Prescott values.
The calculation is applied per column of the data.frame and only if all columns are numeric.
The calculation is applied per column of the matrix.
The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend.
The calculation is applied per column of the timeSeries object and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.
Bernhard Pfaff
Hodrick, R. and E.C. Prescott (1997), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking 29(1).
trdbinary
, trdes
,
trdbilson
, trdsma
,
trdwma
, capser
data(StockIndex)
y <- StockIndex[, "SP500"]
hp <- trdhp(y, lambda = 1600)
head(hp)