by minimizing the following objective function:LRX filter is a method of time series smoothing that is used to determine long-term time series trends. It is a general case of the Hodrick-Prescott filter.
LRX filter calculates by minimizing the following objective function:
Where:
. Input (output) series.
. Smoothed series.
λ. Smoothens measure for the series. It can take values in the range [0.001; 100000].
. Weights.
. Prior values.
. Prior differences.
See also:
Library of Methods and Models | Modeling Container: The LRX Filter Model | IModelling.Lrxf | ISmLRXFilter