[R] Hodrick-Prescott filter example

ggrothendieck@yifan.net ggrothendieck at yifan.net
Thu Mar 7 01:05:33 CET 2002


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

-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
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
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._



More information about the R-help mailing list