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mFilter: Miscellaneous Time Series Filters
The mFilter package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package.
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Package details |
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| Author | Mehmet Balcilar <mehmet@mbalcilar.net> |
| Maintainer | Mehmet Balcilar <mehmet@mbalcilar.net> |
| License | GPL (>= 2) |
| Version | 0.1-5 |
| URL | http://www.mbalcilar.net |
| Package repository | View on CRAN |
| Installation |
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