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everget
30 กันยา 2018 เวลา 16 นาฬิกา 16 นาที

Hampel Filter 

U.S. Dollar/Japanese YenFXCM

คำอธิบาย

Hampel Filter script.

This indicator was originally developed by Frank Rudolf Hampel (Journal of the American Statistical Association, 69, 382–393, 1974: The influence curve and its role in robust estimation).

The Hampel filter is a simple but effective filter to find outliers and to remove them from data. It performs better than a median filter.
ความคิดเห็น
Pratik_4Clover
Can you please cite difference between working of this and simple median?

From what I understood from code is that its is ema of HF which is over simple median?
everget
@OWL, thanks for your feedback. I will do it
j102491
Great thanks
j102491
How does the filter remove outliers ? I just see a time series
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