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Commit 329606cf authored by Stéphane Adjemian's avatar Stéphane Adjemian
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Added option for initialisation of the one sided hp filter. 

Can initialise the trend in the one sided HP filter with the trend
estimated with the standard HP filter.
parent 7b98947c
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Showing with 91 additions and 19 deletions
src/@dseries/onesidedhpcycle.m
View file @ 329606cf
function o = onesidedhpcycle(o, lambda) % --*-- Unitary tests --*--
function o = onesidedhpcycle(o, lambda, init) % --*-- Unitary tests --*--
% Extracts the cycle component from a dseries object using the one sided HP filter.
%
......@@ -28,14 +28,23 @@ function o = onesidedhpcycle(o, lambda) % --*-- Unitary tests --*--
if nargin>1
if lambda<=0
error(['dseries::onesidedhptrend: Lambda must be a positive integer!'])
error(['dseries::onesidedhpcycle: Lambda must be a positive integer!'])
end
if nargin>2
if ~isequal(init, 'hpfilter')
error('dseries::onesidedhpcycle: Unknown option!')
end
end
else
lambda = [];
end
o = copy(o);
o.onesidedhpcycle_(lambda);
if nargin<3
o.onesidedhpcycle_(lambda);
else
o.onesidedhpcycle_(lambda, init);
end
return
......
src/@dseries/onesidedhpcycle_.m
View file @ 329606cf
function o = onesidedhpcycle_(o, lambda) % --*-- Unitary tests --*--
function o = onesidedhpcycle_(o, lambda, init) % --*-- Unitary tests --*--
% Extracts the cycle component from a dseries object using a one sided HP filter.
%
......@@ -28,7 +28,12 @@ function o = onesidedhpcycle_(o, lambda) % --*-- Unitary tests --*--
if nargin>1
if lambda<=0
error(['dseries::onesidedhpcycle: Lambda must be a positive integer!'])
error('dseries::onesidedhpcycle: Lambda must be a positive integer!')
end
if nargin>2
if ~isequal(init, 'hpfilter')
error('dseries::onesidedhpcycle: Unknown option!')
end
end
else
lambda = [];
......@@ -37,20 +42,42 @@ end
for i=1:vobs(o)
if isempty(o.ops{i})
if isempty(lambda)
o.ops(i) = {sprintf('onesidedhpcycle(%s, [])', o.name{i})};
if nargin>2
o.ops(i) = {sprintf('onesidedhpcycle(%s, [], ''%s'')', o.name{i}, init)};
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, [])', o.name{i})};
end
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s)', o.name{i}, num2str(lambda))};
if nargin>2
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s, ''%s'')', o.name{i}, num2str(lambda), init)};
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s)', o.name{i}, num2str(lambda))};
end
end
else
if isempty(lambda)
o.ops(i) = {sprintf('onesidedhpcycle(%s, [])', o.ops{i})};
if nargin>2
o.ops(i) = {sprintf('onesidedhpcycle(%s, [], ''%s'')', o.ops{i}, init)};
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, [])', o.ops{i})};
end
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s)', o.ops{i}, num2str(lambda))};
if nargin>2
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s, ''%s'')', o.ops{i}, num2str(lambda), init)};
else
o.ops(i) = {sprintf('onesidedhpcycle(%s, %s)', o.ops{i}, num2str(lambda))};
end
end
end
end
[~, o.data] = one_sided_hp_filter(o.data, lambda);
if nargin>2
trend = o.hptrend(lambda);
x0 = trend.data(1:2,:);
[~, o.data] = one_sided_hp_filter(o.data, lambda, x0);
else
[~, o.data] = one_sided_hp_filter(o.data, lambda);
end
return
......
src/@dseries/onesidedhptrend.m
View file @ 329606cf
function o = onesidedhptrend(o, lambda) % --*-- Unitary tests --*--
function o = onesidedhptrend(o, lambda, init) % --*-- Unitary tests --*--
% Extracts the trend component from a dseries object using the one sided HP filter.
%
......@@ -30,12 +30,21 @@ if nargin>1
if lambda<=0
error(['dseries::onesidedhptrend: Lambda must be a positive integer!'])
end
if nargin>2
if ~isequal(init, 'hpfilter')
error('dseries::onesidedhpcycle: Unknown option!')
end
end
else
lambda = [];
end
o = copy(o);
o.onesidedhptrend_(lambda);
if nargin<3
o.onesidedhptrend_(lambda);
else
o.onesidedhptrend_(lambda, init);
end
return
......
src/@dseries/onesidedhptrend_.m
View file @ 329606cf
......@@ -30,6 +30,11 @@ if nargin>1
if lambda<=0
error(['dseries::onesidedhptrend: Lambda must be a positive integer!'])
end
if nargin>2
if ~isequal(init, 'hpfilter')
error('dseries::onesidedhptrend: Unknown option!')
end
end
else
lambda = [];
end
......@@ -37,20 +42,42 @@ end
for i=1:vobs(o)
if isempty(o.ops{i})
if isempty(lambda)
o.ops(i) = {sprintf('onesidedhptrend(%s, [])', o.name{i})};
if nargin>2
o.ops(i) = {sprintf('onesidedhptrend(%s, [], ''%s'')', o.name{i}, init)};
else
o.ops(i) = {sprintf('onesidedhptrend(%s, [])', o.name{i})};
end
else
o.ops(i) = {sprintf('onesidedhptrend(%s, %s)', o.name{i}, num2str(lambda))};
if nargin>2
o.ops(i) = {sprintf('onesidedhptrend(%s, %s, ''%s'')', o.name{i}, num2str(lambda), init)};
else
o.ops(i) = {sprintf('onesidedhptrend(%s, %s)', o.name{i}, num2str(lambda))};
end
end
else
if isempty(lambda)
o.ops(i) = {sprintf('onesidedhptrend(%s, [])', o.ops{i})};
if nargin>2
o.ops(i) = {sprintf('onesidedhptrend(%s, [], ''%s'')', o.ops{i}, init)};
else
o.ops(i) = {sprintf('onesidedhptrend(%s, [])', o.ops{i})};
end
else
o.ops(i) = {sprintf('onesidedhptrend(%s, %s)', o.ops{i}, num2str(lambda))};
if nargin>2
o.ops(i) = {sprintf('onesidedhptrend(%s, %s, ''%s'')', o.ops{i}, num2str(lambda), init)};
else
o.ops(i) = {sprintf('onesidedhptrend(%s, %s)', o.ops{i}, num2str(lambda))};
end
end
end
end
o.data = one_sided_hp_filter(o.data, lambda);
if nargin>2
trend = o.hptrend(lambda);
x0 = trend.data(1:2,:);
o.data = one_sided_hp_filter(o.data, lambda, x0);
else
o.data = one_sided_hp_filter(o.data, lambda);
end
return
......
src/@dseries/subsref.m
View file @ 329606cf
......@@ -90,7 +90,7 @@ switch S(1).type
case 'freq'
% Returns an integer characterizing the data frequency (1, 4, 12 or 52)
B = A.dates.freq;
case {'lag','lag_','lead','lead_','hptrend','hptrend_','hpcycle','hpcycle_','onesidedhptrend','onesidedhptrend_','onesidedhpcycle','onesidedhpcycle_','chain','chain_','detrend','detrend_','exist','mean','std','center','center_'} % Methods with less than two arguments.
case {'lag','lag_','lead','lead_','hptrend','hptrend_','hpcycle','hpcycle_','chain','chain_','detrend','detrend_','exist','mean','std','center','center_'} % Methods with less than two arguments.
if length(S)>1 && isequal(S(2).type,'()')
if isempty(S(2).subs)
B = feval(S(1).subs,A);
......@@ -105,7 +105,7 @@ switch S(1).type
else
B = feval(S(1).subs,A);
end
case {'cumsum','cumsum_','insert','pop','pop_','cumprod','cumprod_','remove','remove_'} % Methods with less than three argument.
case {'cumsum','cumsum_','insert','pop','pop_','cumprod','cumprod_','remove','remove_','onesidedhptrend','onesidedhptrend_','onesidedhpcycle','onesidedhpcycle_'} % Methods with less than three argument.
if length(S)>1 && isequal(S(2).type,'()')
if isempty(S(2).subs)
B = feval(S(1).subs,A);
......
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