muschellij2/mFilter: Miscellaneous Time Series Filters

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.

Getting started

Package details

AuthorMehmet Balcilar <[email protected]>
MaintainerMehmet Balcilar <[email protected]>
LicenseGPL (>= 2)
Version0.1-4
URL http://www.mbalcilar.net/mFilter http://www.r-project.org
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("muschellij2/mFilter")
muschellij2/mFilter documentation built on Sept. 7, 2018, 12:54 a.m.