auto_hpfj_fix | R Documentation |
The regularization constant for the HP filter with jumps is the
maximal sum of standard deviations for the level disturbance. This value
has to be passed to the hpfj_fix
function. The function auto_hpfj_fix
runs hpfj_fix
on a grid of regularization constants and returns the
output of hpfj_fix
according to the chosen information criterion.
auto_hpfj_fix(
y,
lambda,
grid = seq(0, sd(y) * 10, sd(y)/10),
ic = c("bic", "hq", "aic", "aicc"),
edf = TRUE
)
y |
numeric vector cotaining the time series; |
lambda |
smoothing constant; |
grid |
numeric vector containing the grid for the argument |
ic |
string with information criterion for the choice: the default is "bic" (simulations show this is the best choice), but also "hq", "aic" and "aicc" are available; |
edf |
logical scalar: TRUE (default) if the number of degrees of freedom should be computed as "effective degrees of freedom" (Efron, 1986) as opposed to a more traditional way (although not supported by theory) when FALSE. |
The ouput of the hpjf
function corresponding to the best
choice according to the selected information criterion.
mod <- auto_hpfj_fix(Nile, "annual")
plot(as.numeric(Nile))
lines(mod$smoothed_level)
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