NDK_DETREND

Last Modified on 04/21/2016 12:40 pm CDT

C/C++
.Net

int __stdcall NDK_DETREND	(	double *	X,
		size_t	N,
		WORD	polyOrder
	)

Detrends a time series using a regression of y against a polynomial time trend of order p.

Returns: status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in,out] X is the univariate time series data (a one dimensional array).

[in] N is the number of observations in X.

[in]

polyOrder

is the order of the polynomial time trend: 0. subtracts mean (default)

Order	Description
0	subtracts mean (default)
1	constant plus trend model
2	constant plus trend and squared trend model

Remarks

The time series is homogeneous or equally spaced.
The time series may include missing values (NaN) at either end.

Requirements

Header	SFSDK.H
Library	SFSDK.LIB
DLL	SFSDK.DLL

Examples

Namespace:	NumXLAPI
Class:	SFSDK
Scope:	Public
Lifetime:	Static

int NDK_DETREND	(	double[]	pData,
		UIntPtr	nSize,
		short	polyOrder
	)

Detrends a time series using a regression of y against a polynomial time trend of order p.

Returns: status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in,out] pData is the univariate time series data (a one dimensional array).

[in] nSize is the number of observations in pData.

[in]

polyOrder

is the order of the polynomial time trend: 0. subtracts mean (default)

Order	Description
0	subtracts mean (default)
1	constant plus trend model
2	constant plus trend and squared trend model

Remarks

The time series is homogeneous or equally spaced.
The time series may include missing values (NaN) at either end.

Exceptions

Exception Type	Condition
None	N/A

Requirements

Namespace	NumXLAPI
Class	SFSDK
Scope	Public
Lifetime	Static
Package	NumXLAPI.DLL

Examples

References: * Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6; * Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740; * D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906; * Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848

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