Publisher review:Fast Hodrick Prescott Filter - Detrending a time series. The Hodrick Prescott Filter (HP-Filter) is the most popular method to separate a time series x_t into its components. Let's suppose that the original series is composed of a trend component g_t and a cyclical component c_t.
Solving the minimization problem is quite simple. This program decomposes a times series by the Hodrick Prescott Filter. To accelerate the computation the Add-In makes use of the penta-diagonal structure of the coefficient-matrix. So detrending a lot of data points is not a problem for this program. Requirements: ยท MATLAB Release: R10
Fast Hodrick Prescott Filter is a Matlab script for Financial Modeling and Analysis scripts design by Kurt Annen.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Operating system:Windows / Linux / Mac OS / BSD / Solaris