[R-sig-finance] Baxter-King filtering?
atp at piskorski.com
Fri Nov 25 12:55:01 CET 2005
On Fri, Nov 25, 2005 at 07:03:40AM +0530, Ajay Narottam Shah wrote:
> A few weeks ago, Gabor showed this code for Hodrick Prescott
> The literature seems to think that Baxter-King works better. The idea
"A Frequency Selective Filter for Short-Length Time Series"
by Alessandra Iacobucci, May 2004
compares the Hodrick-Prescott, Baxter-King, and Christiano-Fitsgerald
filters to his Hamming-windowed filter, and says that the
Hamming-windowed is best.
Andrew Piskorski <atp at piskorski.com>
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