UTILIZAÇÃO DO FILTRO HODRICK-PRESCOTT NAS ANÁLISES DE DADOS CLIMÁTICOS
نویسندگان
چکیده
منابع مشابه
Whittaker Graduation and the Hodrick-Prescott Filter
Hodrick and Prescott (1997) proposed a smoothing method for economic time series that is very similar to graduation, it is usually known as the H-P method. They acknowledged that this method is equivalent to graduation methods and that it had been in use among actuaries. The literature on smoothing methods based on their approach grew separately from the graduation literature, due to the useful...
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The Hodrick-Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications – such as deriving implied trend and cycle models and obtaining filter weights – it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of th...
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ژورنال
عنوان ژورنال: Revista Brasileira de Climatologia
سال: 2012
ISSN: 2237-8642,1980-055X
DOI: 10.5380/abclima.v11i0.29224