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statsmodels.tsa.filters.cffilter

statsmodels.tsa.filters.cffilter(X, low=6, high=32, drift=True)

Christiano Fitzgerald asymmetric, random walk filter

Parameters :

X : array-like

1 or 2d array to filter. If 2d, variables are assumed to be in columns.

low : float

Minimum period of oscillations. Features below low periodicity are filtered out. Default is 6 for quarterly data, giving a 1.5 year periodicity.

high : float

Maximum period of oscillations. Features above high periodicity are filtered out. Default is 32 for quarterly data, giving an 8 year periodicity.

drift : bool

Whether or not to remove a trend from the data. The trend is estimated as np.arange(nobs)*(X[-1] - X[0])/(len(X)-1)

Returns :

cycle : array

The features of X between periodicities given by low and high

trend : array

The trend in the data with the cycles removed.

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