IModelling.Bpf

Fore Syntax

Bpf(Input: ITimeSeries;
    Period: IMsPeriod;
    Lag: Integer;
    Low: Integer;
    High: Integer;
    [Output: MsBPFOutputType = 0]): Variant;

Fore.NET Syntax

Bpf(Input: Prognoz.Platform.Interop.Ms.ITimeSeries;
    Period: Prognoz.Platform.Interop.Ms.IMsPeriod;
    Lag: Integer;
    Low: Integer;
    High: Integer;
    Output: Prognoz.Platform.Interop.Ms.MsBPFOutputType;
    Context: Prognoz.Platform.Interop.Fore.ForeRuntimeContext): object;

Parameters

Input. Input variable.

Period. Period, at which the method is calculated. If the parameter is set to Null, the method is calculated at the entire time period.

Lag. Lead/lag.

Low. Low value of cycle period.

High. High value of cycle period.

Output. Output component.

Context. Context. The parameter is used only in Fore.NET.

Description

The Bpf method models variable values using the Baxter-King filter.

Comments

Values for lead/lag and cycle period limits are set depending on the calendar frequency of the input variable. Basic values:

Fore Example

Executing the example requires that the repository contains a modeling container with the MS identifier. A model with the MODEL_D identifier calculated by the method of determinate equation and containing at least one input variable must be available in this container.The model must be based on annual frequency.

Add links to the Metabase, Ms system assemblies.

Sub UserBpf;
Var
    Mb: IMetabase;
    ModelSpace, ModelObj: IMetabaseObject;
    Transf: IMsFormulaTransform;
    Formula: IMsFormula;
    Model: IMsModel;
    Determ: IMsDeterministicTransform;
    TransVar: IMsFormulaTransformVariable;
    Slice: IMsFormulaTransformSlice;
    TermInfo: IMsFormulaTermInfo;
    Expr: IExpression;
Begin
    // Get repository
    Mb := MetabaseClass.Active;
    // Get modeling container
    ModelSpace := Mb.ItemById("MS").Bind;
    // Get model
    ModelObj := Mb.ItemByIdNamespace("MODEL_D", ModelSpace.Key).Edit;
    Model := ModelObj As IMsModel;
    // Get model calculation parameters
    Transf := Model.Transform;
    Formula := Transf.FormulaItem(0);
    Determ := Formula.Method As IMsDeterministicTransform;
    // Get the first input variable
    TransVar := Transf.Inputs.Item(0);
    Slice := TransVar.Slices.Item(0);
    TermInfo := Transf.CreateTermInfo;
    TermInfo.Slice := Slice;
    // Set mode of passing variable into calculation
    TermInfo.Type := MsFormulaTermType.Pointwise;
    // Get model calculation expression
    Expr := Determ.Expression;
    Expr.References := "Ms";
    // Set model calculation expression
    Expr.AsString := "Bpf(" + TermInfo.TermInnerText +", SetPeriod(" +
        """" + "01.01.2000" + """" + "," + """" + "01.01.2015" + """" +
        "), 3, 2, 8,MsBPFOutputType.NonCyclicalSeries)";
    // Check if the expression is correct
    If Expr.Valid
        // If the expression is set correctly, save the model
        Then ModelObj.Save;
        // If the expression is incorrect, display a message to the console window 
        Else Debug.WriteLine("Model is not saved: error in the formula");
    End If;
End Sub UserBpf;

After executing the example the model calculates values on the basis of the first input variable by the Baxter-King filter for the period from 2000 to 2015. The non-cyclical series of input variable will be loaded to the output variable.

Fore.NET Example

The requirements and result of the Fore.NET example execution match with those in the Fore example.

Imports Prognoz.Platform.Interop.Ms;
Imports Prognoz.Platform.Interop.ForeSystem;
…
Public Shared Sub Main(Params: StartParams);
Var
    Mb: IMetabase;
    ModelSpace, ModelObj: IMetabaseObject;
    Transf: IMsFormulaTransform;
    Formula: IMsFormula;
    Model: IMsModel;
    Determ: IMsDeterministicTransform;
    TransVar: IMsFormulaTransformVariable;
    Slice: IMsFormulaTransformSlice;
    TermInfo: IMsFormulaTermInfo;
    Expr: IExpression;
Begin
    // Get repository
    Mb := Params.Metabase;
    // Get modeling container
    ModelSpace := Mb.ItemById["MS"].Bind();
    // Get model
    ModelObj := Mb.ItemByIdNamespace["MODEL_D", ModelSpace.Key].Edit();
    Model := ModelObj As IMsModel;
    // Get model calculation parameters
    Transf := Model.Transform;
    Formula := Transf.FormulaItem[0];
    Determ := Formula.Method As IMsDeterministicTransform;
    // Get the first input variable
    TransVar := Transf.Inputs.Item[0];
    Slice := TransVar.Slices.Item[0];
    TermInfo := Transf.CreateTermInfo();
    TermInfo.Slice := Slice;
    // Set mode of passing variable into calculation
    TermInfo.Type := MsFormulaTermType.mfttPointwise;
    // Get model calculation expression
    Expr := Determ.Expression;
    Expr.References := "Ms";
    // Set model calculation expression
    Expr.AsString := "Bpf(" + TermInfo.TermInnerText + ", SetPeriod(" +
        """" + "01.01.2000" + """" + "," + """" + "01.01.2015" + """" +
        "), 3, 2, 8,MsBPFOutputType.NonCyclicalSeries)";
    // Check if the expression is correct
    If Expr.Valid
        // If the expression is set correctly, save the model
        Then ModelObj.Save();
        // If the expression is incorrect, display a message to the console window 
        Else System.Diagnostics.Debug.WriteLine("Model is not saved: error in the formula");
    End If;
End Sub;

Example of Use in Expressions

Expression 1:

Bpf({Chicago - population[t]}, NULL, 3, 2, 8, MsBPFOutputType.NonCyclicalSeries)

Result: the Baxter-King filter is applied to the Chicago - population time series for the entire time period. Filter parameters: the filter is calculated at the entire data period, values for lead or lag and seasonality period limits are set for annual data, non-seasonal component of the source series is unloaded after the calculation.

Expression 2:

Bpf(X1, SetPeriod("01.01.2000", "01.01.2015"), 13, 6, 32, MsBPFOutputType.NonCyclicalSeries)

Result: the Baxter-King filter is applied to the X1 factor for the period from 2000 to 2015. Filter parameters are as follows: calculation period is set, values of lead/lag and seasonality period limits are set for quarterly data, after calculation the seasonal component of the source series is unloaded.

See also:

IModelling | The Baxter-King Filter Method | Time Series Database: Calculator, Baxter-King Filter   Modeling Container: The Baxter-King Filter Model, Editing Regressor or Formula