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 Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=jumps to link to this page.
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