Quadratic time detrending. Any help or code ???

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Panty 2014-7-15

评论： Panty 2014-7-15

Hi guys!! I have a question.

For linearly detrending a time-series you can use the detrend(..) function.

If you want to extract the quadratic time trend?? Any function or code you could share??

I have found this code in the 'Parametric Trend Estimation' Mathworks page, but I want to make sure whether it works or not and you opinion.

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

load(fullfile(matlabroot,'examples','econ','Data_Accidental.mat')); t = [1:N]'; X = [ones(N,1) t t.^2];

B = X\Y;

Th = X*B;

h = plot(Th/1000,'r','LineWidth',2);

legend(h,'Quadratic Trend Estimate');

hold off

Y = Dataset.NUMD;

N = length(Y);

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Many thanks

Alfonso Nieto-Castanon 2014-7-15

Yes, that should work, you just need to define:

Ynew = Y - Th;

to get the new "detrended" timeseries.

Alfonso Nieto-Castanon 2014-7-15

Yes, ordinary least squares, linear regression, general linear model, the X\Y part would do just that.

Panty 2014-7-15

Thats perfect. Thank you very much Alfonso. Much appreciated.

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