Bpf(Input: ITimeSeries,
Period: IMsPeriod,
Lag: Integer,
Low: Integer,
High: Integer,
Output: MsBPFOutputType)
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. Default value is not set.
It models variable values with the filter Baxter-King.
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 |
Formula | Result | Application |
= Bpf({Chicago - population[t]}, NULL, 3, 2, 8, MsBPFOutputType.NonCyclicalSeries) | Baxter-King filter is applied to the Chicago - population[t] 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. | It can be used in formulas of calculated series of time series database and in formulas of attribute-based models of modeling container. |
= Bpf(X1, SetPeriod("01.01.2000", "01.01.2015"), 13, 6, 32, MsBPFOutputType.NonCyclicalSeries) | 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. | It can be used in model variable-based formulas of modeling container. |
See also:
Functions Available in Expression Editor │ Smoothing │ IModelling.Bpf