De-trending variables algorithm

版本 1.0.0.0 (1.3 KB) 作者: raffaele
function that make all time series stationary, and return number of differencing for each one
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更新时间 2015/7/7

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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

引用格式

raffaele (2026). De-trending variables algorithm (https://ww2.mathworks.cn/matlabcentral/fileexchange/52009-de-trending-variables-algorithm), MATLAB Central File Exchange. 检索时间: .

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1.0.0.0