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Problem of selecting the best lambda in Hodrick prescott algorythm

Problem of selecting the best lambda in Hodrick prescott algorythm
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By jaguar1637 3731 days ago

Hi All

I met some deep problems regarding the calculation of the variable Lambda in my indicators

It 's sur to the fact, the Hodrick-Prescott (HP) requires setting a value for the smoothing parameter


λ. This value should be chosen based on statistical properties and economic
we want to see fulfilled by the trend and the cycle thus obtained.
• On a statistical level, choose the value of λ is equivalent to selecting from fluctuations
which are the short term and the movements that affect the long term. in
practice, λ is too low affects wrong part of the cycle to the short periodicity
trend leading the latter to be too volatile. On the other hand, a too high λ leads to
overestimate the cyclical component. Choose the parameter λ is therefore to
determine the average length of the cycles of activity. This criterion not select a value too
high for λ.
• On an economic level, choose a highly volatile trend returns to lead a
structural analysis in an economic environment stabilized enough, otherwise
said too influenced by cyclical fluctuations. This criterion not select
too low a value for λ.

So, I am wandering of taking into account the result from MovingMinMax indicator or the fractals dimension, or the matrix correlation dimensio....giving the regular period.