ISmHodrickPrescottFilter

Assembly: Stat;

Description

The ISmHodrickPrescottFilter interface defines the parameters of Hodrick-Prescott filter.

Inheritance Hierarchy

          IStatMethod

          ISmHodrickPrescottFilter

Comments

This method is used to single out long-term trends of time series. This is a two-sided linear filter that calculates a series S based on a source series Y by minimizing the spread of S series elements around Y provided that the sum of elements of twice differenced S series is a minimum.

Properties

  Property name Brief description
Fitted

 The Fitted property returns a modeling series.
Frequency

 The Frequency property determines the number of periods in the year.
MissingData

 The MissingData property determines missing data treatment parameters.
ModelPeriod

 The ModelPeriod property determines sample period parameters.
Power

 The Power property determines the value of the power used as the smoothing parameter.
Residuals

 The Residuals property returns a residual series.
Serie

 The Serie property determines source series parameters.
SmoothingParameter

 The SmoothingParameter property determines smoothing parameter.
SmoothingParameterMode

 The SmoothingParameterMode property determines the method of setting the smoothing parameter.
SummaryStatistics

 The SummaryStatistics property returns summary statistics.

Properties inherited from IStatMethod

  Property name Brief description
DisplayName The DisplayName property returns the displayed method name.
ErrorByStatus The ErrorByStatus property returns an error message by the error number.
Errors The Errors property returns a message with all the errors and warnings.
Name The Name property returns the internal method name.
PerformanceTime The PerformanceTime property returns method execution time.
Status The Status property returns the method execution status.
SupportsR The SupportsR property returns whether statistical method can be calculated via R package.
UseR The UseR property determines whether statistical method is calculated via the R package.
WarningByStatus The WarningByStatus property returns a warning text by its number.
Warnings The Warnings property returns the warnings that occurred on method calculation.
WarningsCount The WarningsCount property returns the number of warnings that occurred on method calculation.
WarningsNumbers The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

Methods inherited from IStatMethod

  Method Name Brief description
Clone The Clone method clones a statistical method object.
Execute The Execute method executes a statistical method.
LoadFromXML The LoadFromXML method loads statistical method settings from XML code.
SaveToXML The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Interfaces | Hodrick-Prescott filter