Skip to content
Prev 17663 / 398503 Next

Hodrick-Prescott filter example

eye <- diag( length(y) )
d <- diff( eye, d=2 )
z <- solve( eye + lambda * crossprod(d),  y )
On 6 Mar 2002 at 21:16, Lukas Kubin wrote:

            
-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._