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 |
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Author | Mehmet Balcilar <mbalcilar@yahoo.com> |
Maintainer | Mehmet Balcilar <mbalcilar@yahoo.com> |
License | GPL (>= 2) |
Version | 0.1-4 |
URL | http://www.mbalcilar.net/mFilter http://www.r-project.org |
Package repository | View on GitHub |
Installation |
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