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.

Package details

AuthorMehmet Balcilar <>
MaintainerMehmet Balcilar <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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mFilter documentation built on June 5, 2019, 1:03 a.m.