[R] Hodrick-Prescott filter example

[ggrothendieck@yifan.net]

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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