jumps-package: Hodrick-Prescott Filter with Jumps
In jumps: Hodrick-Prescott Filter with Jumps
jumps-package R Documentation
Hodrick-Prescott Filter with Jumps
Description
Extraction of a smooth trend with automatically selected jumps.
Details
This package implements a version of the HP filter and of smoothing splines that allow discontinuities (jumps). The jumps are automatically selected using a LASSO-like regularization and the optimal regularization constant can be found providing a grid of alternatives and using information criteria. The user can also add regressors such as deterministic seasonal components.
Author(s)
Matteo Pelagatti, Paolo Maranzano.
Maintainer: Matteo Pelagatti <matteo.pelagatti@unimib.it>, Paolo Maranzano <paolo.maranzano@unimib.it>
References
Maranzano and Pelagatti (2024) A Hodrick-Prescott filter with automatically selected jumps.
jumps documentation built on April 4, 2025, 2:22 a.m.
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| jumps-package | R Documentation |
Hodrick-Prescott Filter with Jumps
Description
Extraction of a smooth trend with automatically selected jumps.
Details
This package implements a version of the HP filter and of smoothing splines that allow discontinuities (jumps). The jumps are automatically selected using a LASSO-like regularization and the optimal regularization constant can be found providing a grid of alternatives and using information criteria. The user can also add regressors such as deterministic seasonal components.
Author(s)
Matteo Pelagatti, Paolo Maranzano.
Maintainer: Matteo Pelagatti <matteo.pelagatti@unimib.it>, Paolo Maranzano <paolo.maranzano@unimib.it>
References
Maranzano and Pelagatti (2024) A Hodrick-Prescott filter with automatically selected jumps.
R Package Documentation
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