Christiano Fitzgerald asymmetric, random walk filter
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)
cycle : array
The features of X between periodicities given by low and high
trend : array
The trend in the data with the cycles removed.
sm.tsa.filters.arfilter
sm.tsa.filters.miso_lfilter
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