jumps: Hodrick-Prescott Filter with Jumps (original) (raw)
A set of functions to compute the Hodrick-Prescott (HP) filter with automatically selected jumps. The original HP filter extracts a smooth trend from a time series, and our version allows for a small number of automatically identified jumps. See Maranzano and Pelagatti (2024) <doi:10.2139/ssrn.4896170> for details.
| Version: | 1.0 |
|---|---|
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp (≥ 1.0.10), stats, nloptr |
| LinkingTo: | Rcpp |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0), ggplot2, xts |
| Published: | 2025-03-24 |
| DOI: | 10.32614/CRAN.package.jumps |
| Author: | Matteo Pelagatti  [aut, cre, cph], Paolo Maranzano [aut, cph] |
| Maintainer: | Matteo Pelagatti <matteo.pelagatti at unimib.it> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | jumps citation info |
| Materials: | README |
| In views: | TimeSeries |
| CRAN checks: | jumps results |
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