detrend

detrend
To remove the general drift, tendency, or bent of a set of statistical data as related to time. Often accomplished by regressing ( regression) a variable or a time index and perhaps the square of the time index and capturing the residuals. A stochastic detrend would be to subtract a moving-average (say for five years) from the value of the variable. Bloomberg Financial Dictionary

Financial and business terms. 2012.

Игры ⚽ Поможем написать реферат

Look at other dictionaries:

  • Detrend — In forecasting models, the process of removing the effects of accumulating data sets from a trend to show only the absolute changes in values and to allow potential cyclical patterns to be identified. This is done using regression and other… …   Investment dictionary

  • detrend — verb to manipulate data to remove long term trends in order to emphasise short term changes …   Wiktionary

  • Detrend — To remove the general drift, tendency or bent of a set of statistical data as related to time. The New York Times Financial Glossary …   Financial and business terms

  • Hodrick-Prescott (HP) Filter — A data smoothing technique that is commonly applied to remove short term fluctuations that are associated with the business cycle, thereby revealing long term trends. The HP filter is used to determine the long term trend of a time series by… …   Investment dictionary

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”