De-trending variables algorithm

Versión 1.0.0.0 (1,27 KB) por raffaele
function that make all time series stationary, and return number of differencing for each one
169 Descargas
Actualizado 7 jul 2015

Ver licencia

This function uses as input a matrix whose column are different time series. Than it controls for each one if they are stationary or not, using an augmented Dickey-Fuller test for unit root. if the test fails and some variables follow a stationary trend, then the algorithm works on differences until the variable became stationary. Moreover there is a vector "counter", which says how many time the difference has been performed.
Differerencing is obtained by taking log-differences

Citar como

raffaele (2026). De-trending variables algorithm (https://es.mathworks.com/matlabcentral/fileexchange/52009-de-trending-variables-algorithm), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2014a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Time Series en Help Center y MATLAB Answers.
Versión Publicado Notas de la versión
1.0.0.0