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:
Could someone, please, write me an example how to apply the Hodrick-Prescott in R? Previously (in this list) someone mentioned it is
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