Message-ID: <3C86687D.23311.2AF2AD@localhost>
Date: 2002-03-07T00:05:33Z
From: ggrothendieck@yifan.net
Subject: Hodrick-Prescott filter example
In-Reply-To: <Pine.LNX.4.33.0203062113290.5252-100000@x.opf.slu.cz>
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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