Description Usage Arguments Details Value Methods Author(s) References See Also Examples

Calculation of the Hodrick-Prescott filter as a technical trading indicator.

1 | ```
trdhp(y, lambda)
``` |

`y` |
Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported. |

`lambda` |
Numeric, the value for |

The Hodrick-Prescott filter is calculated according to the formula:

*
\min (τ_t) = ∑_{t = 1}^T (y_t - τ_t)^2 + λ
∑_{t = 2}^{T-1} (Δ^2 τ_{t+1})^2
*

An object of the same class as `y`

, containing the computed
Hodrick-Prescott values.

- y = "data.frame"
The calculation is applied per column of the data.frame and only if all columns are numeric.

- y = "matrix"
The calculation is applied per column of the matrix.

- y = "mts"
The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

- y = "numeric"
Calculation of the bilson trend.

- y = "timeSeries"
The calculation is applied per column of the timeSeries object and an object of the same class is returned.

- y = "ts"
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

- y = "xts"
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

- y = "zoo"
Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

Bernhard Pfaff

Hodrick, R. and E.C. Prescott (1997), Postwar U.S. Business Cycles: An
Empirical Investigation, *Journal of Money, Credit and Banking* 29(1).

`trdbinary`

, `trdes`

,
`trdbilson`

, `trdsma`

,
`trdwma`

, `capser`

1 2 3 4 | ```
data(StockIndex)
y <- StockIndex[, "SP500"]
hp <- trdhp(y, lambda = 1600)
head(hp)
``` |

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