Documentation

Data Preprocessing

Format, plot, and transform time series data

Classes

LagOp Create lag operator polynomial (LagOp) object

Functions

filter Apply lag operator polynomial to filter time series
hpfilter Hodrick-Prescott filter for trend and cyclical components
price2ret Convert prices to returns
ret2price Convert returns to prices
recessionplot Overlay recession bands on a time series plot
isStable Determine stability of lag operator polynomial
reflect Reflect lag operator polynomial coefficients around lag zero
LagOp.toCellArray Convert lag operator polynomial object to cell array
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