BpfR

Syntax

BpfR(Input: ITimeSeries,
    Period: IMsPeriod,
    Lag: Integer,
    Low: Integer,
    High: Integer,
    Output: MsBPFOutputType)

Parameters

Input. Input variable

Period. Period, at which the method is calculated. If the parameter value is 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. Optional parameter. The default value is MsBPFOutputType.CycleSeries - the cyclic component is used.

Description

It models variable values with the Baxter-King filter with the R package.

Comments

Integration with R must be set up in the repository to use this method. For details about integration setup see the How to Set Up Integration with R? section.

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

Frequency	Lead/lag	Low limit	Upper limit
Annual	3	2	8
Semi-Annual	6	3	16
Quarterly	12	6	32
Monthly	36	18	96
Weekly	156	78	416
5-days	783	391.5	2088
7-days	1095	547,5	2920

Example

Formula	Result	Application
= BpfR({Chicago - population[t]}, NULL, 3, 2, 8, MsBPFOutputType.NonCyclicalSeries)	The Baxter-King filter is applied to the Chicago - population time series. 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. R package will be used in calculations.	It can be used in formulas of calculated series of time series database and model formulas of modeling container that is a child of the time series database.
= BpfR(X1, SetPeriod("01.01.2000", "01.01.2015"), 12, 6, 32, MsBPFOutputType.NonCyclicalSeries)	The Baxter-King filter is applied to the X1 factor. 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. R package will be used in calculations.	It can be used in model formulas of modeling container.