detrend: Remove a linear trend from a vector

In matthewclegg/egcm: Engle-Granger Cointegration Models

Remove a linear trend from a vector

Description

Given a numeric vector Y, removes a linear trend from it.

Usage

detrend(Y)

Arguments

Y	numeric vector to be de-trended

Value

Returns a vector X where X[i] = Y[i] - a - b * i, where a and b describe the linear trend in Y.

Author(s)

Matthew Clegg [e-mail]

Examples

detrend(rep(1,10))  # == 0 0 0 0 0 0 0 0 0 0
detrend(1:10)       # == 0 0 0 0 0 0 0 0 0 0
detrend((1:10)^2)   # == 12  4 -2 -6 -8 -8 -6 -2  4 12

mean(detrend(rnorm(1:100) + 1:100))  # should be very close to 0
sd(rnorm(1:100) + 1:100)             # approximately 29
sd(detrend(rnorm(1:100) + 1:100))    # approximately 1

matthewclegg/egcm documentation built on March 5, 2023, 6:33 a.m.