Hpf(Input: ITimeSeries,
Period: IMsPeriod,
Lambda: Integer)
Input. Smoothed variable
Period. The period, at which method is calculated. If the parameter value is Null, the method is calculated at the entire time period
Lambda. The parameter controls the measure of variable smoothness. Optional parameter. Parameter must be a positive number. By default parameter is set to 100. More the Lambda parameter value is, more "smoothed" the variable is.
It smoothes the variable using the Hodrick-Prescott filter (smoothing parameter is lambda).
The Hodrick-Prescott filter (smoothing parameter - power) is implemented by the HpfP function.
| Formula | Result | Application |
| = Hpf({Chicago - population[t]}, Null, 130) | Data of the Chicago - population[t] time series is smoothed with the Hodrick-Prescott filter at the entire data period. Smoothing parameter equals to 130. |
It can be used in formulas of calculated series of time series database and in formulas of attribute-based models of modeling container. |
| = Hpf(X1, setperiod("01.01.2000", "01.01.2015")) | Data of the X1 factor is smoothed with the Hodrick-Prescott filter at the specified data period. | It can be used in model variable-based formulas of modeling container. |
See also:
Functions Available in Expression Editor │ Smoothing │ IModelling.Hpf | TheHodrick-Prescott Filter