De-trending variables algorithm

function that make all time series stationary, and return number of differencing for each one

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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

Citar como

raffaele (2026). De-trending variables algorithm (https://la.mathworks.com/matlabcentral/fileexchange/52009-de-trending-variables-algorithm), MATLAB Central File Exchange. Recuperado .

Información general

Compatibilidad con la versión de MATLAB

  • Compatible con cualquier versión

Compatibilidad con las plataformas

  • Windows
  • macOS
  • Linux
Versión Publicado Notas de la versión Action
1.0.0.0