去趋势函数 detrend

 

matlab 去趋势 例程

clc
clear all
close all

%创建一个模拟数据集并计算其平均值。
t = 0:300;
dailyFluct = gallery('normaldata',size(t),2);
sdata = cumsum(dailyFluct) + 20 + t/100;


% 算法验证 start
 tm = mean(t);
 ym = mean(sdata); 

 sty = mean(t.*sdata) - tm*ym;
 stt = mean(t.*t) - tm*tm;
 
 grad = sty/stt;
 yint = -grad*tm + ym;

 detrend_sdata_t = (sdata - (grad*t+ yint)) + 1;
 trend2 = grad*t+ yint + 1;
% 算法验证 end

figure
plot(t,sdata);
legend('Original Data','Location','northwest');
xlabel('Time (days)');
ylabel('Stock Price (dollars)');


%计算去趋势数据，并且从原始数据中移除
detrend_sdata = detrend(sdata);
trend = sdata -  detrend_sdata;
mean(detrend_sdata)

hold on
plot(t,trend,':r')
plot(t,trend2,':g')
plot(t,detrend_sdata_t,'m')
plot(t,detrend_sdata,'g')
plot(t,zeros(size(t)),':k')
legend('Original Data','Trend','Detrended Data',...
       'Mean of Detrended Data','Location','northwest')
xlabel('Time (days)');
ylabel('Stock Price (dollars)');