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What is "detrending"? What is left if you detrend ?
How would you detrend data that is not trending?
Would that create a reverse trend?
donc
> Subject: GEN: Optimal Detrending of a Time Series Method ...
> Date: Mon, 24 Jan 2000 08:47:42 -0500
> From: Andrew <andrew@xxxxxxxxx>
> To: Omega List <omega-list@xxxxxxxxxx>, code-list <code-list@xxxxxxxxxxxxx>
>
>I would like to begin a new discussion on this list regarding the
>detrending of a price series.
>
>I would imagine that the following methods would do a fair job of
>removing the linear trend component from a time series.
>
>1. Subtract series average from each data point.
>2. Use a bandpass filter to filter out all information above and below
> certain frequency cut off points.
>3. Calculate a least squares regression line of the time series and
>subtract
> it from each data point
>
>I would imagine that the optimal method would be the lease squares
>regression line. Would anyone here on the list comment on the above?
>What is the best way for "detrending" data in your opinion. I am
>looking forward to an educational discussion from some of the more
>mathematically inclined members from the list.
>
>Regards,
>Andrew
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