Fast Hodrick Prescott Filter

Version 1.0.0.0 (1.46 KB) by Kurt Annen
Detrending a time series.
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Updated 26 Aug 2004

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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.

Cite As

Kurt Annen (2024). Fast Hodrick Prescott Filter (https://www.mathworks.com/matlabcentral/fileexchange/5745-fast-hodrick-prescott-filter), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R10
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0

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