HpfP

HpfP(Input: ITimeSeries,
Period: IMsPeriod,
Lambda: Integer)

Parameters

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

Power. The value of the degree applied to determine the smoothing parameter. Optional parameter. Parameter must be a positive number. The parameter is equal to 4 by default.

Description

It smoothes the variable with the Hodrick-Prescott filter, by calculating the smoothing parameter depending on the model frequency and the degree parameter.

Comments

The Hodrick-Prescott filter (smoothing parameter - lambda) is implemented by the Hpf function.

Example

Formula	Result	Application
= HpfP({Chicago - population[t]}, Null, 5)	Data of the Chicago - population[t] time series is smoothed with the Hodrick-Prescott filter at the entire data period. Exponential smoothing parameter is equal to five.	It can be used in formulas of calculated series of time series database and in formulas of attribute-based models of modeling container.
= HpfP(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.