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Hodrick-Prescott Filter
Source: https://fxcodebase.com/code/viewtopic.php?f=48&t=66016
Forum: 48 · Topic 66016 · 1 post(s)
Hodrick-Prescott Filter
Alexander.Gettinger · Tue May 01, 2018 11:44 am
The Hodrick-Prescott filter is a mathematical tool used in macroeconomics, especially in real business cycle theory to separate the cyclical component of a time series from raw data.
It is used to obtain a smoothed non-linear representation of a time series, it is more sensitive to long-term than to short-term fluctuations.
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