palatej/rjdfilters: Trend-Cycle Extraction with Linear Filters

This package provides functions to build and apply symmetric and asymmetric moving averages (= linear filters) for trend-cycle extraction. In particular, it implements several moderns approaches for real-time estimates from the viewpoint of revisions and time delay in detecting turning points. It includes the local polynomial approach of Proietti and Luati (2008), the Reproducing Kernel Hilbert Space (RKHS) of Dagum and Bianconcini (2008) and the Fidelity-Smoothness-Timeliness approach of Grun-Rehomme, Guggemos, and Ladiray (2018). It is based on Java libraries developped around 'JDemetra+' (<https://github.com/jdemetra/jdemetra-app>), the seasonal adjustment software officially recommended to the members of the European Statistical System (ESS) and the European System of Central Banks.

install.packages("remotes")
remotes::install_github("palatej/rjdfilters")