Package: jumps 1.0.0.9000

jumps: Hodrick-Prescott Filter and Spline Smoothing with Jumps

A set of functions to compute the Hodrick-Prescott (HP) filter and Spline Smoothing with automatically selected jumps. The original HP filter and Spline Smoothing extract a smooth signal, and our version allows for a small number of automatically identified jumps. See Maranzano and Pelagatti (2024) <doi:10.2139/ssrn.4896170> for details.

Authors:Matteo Pelagatti [aut, cre, cph], Paolo Maranzano [aut, cph]

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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
jumps/json (API)

# Install 'jumps' in R:
install.packages('jumps', repos = c('https://matteopelagatti.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/matteopelagatti/jumps/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

cpp

5.51 score 2 stars 3 scripts 245 downloads 28 exports 3 dependencies

Last updated from:291f45dfd1. Checks:11 ERROR, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64ERROR152
linux-devel-x86_64ERROR141
source / vignettesOK218
linux-release-arm64ERROR152
linux-release-x86_64ERROR153
macos-release-arm64ERROR91
macos-release-x86_64ERROR231
macos-oldrel-arm64ERROR116
macos-oldrel-x86_64ERROR243
windows-develERROR172
windows-releaseERROR134
windows-oldrelERROR164
wasm-releaseOK127

Exports:auto_hpfjauto_hpfj_fixauto_hpfjxauto_ssj_atwauto_ssj_cssdauto_ssj_fixauto_ssj_kfsauto_ssj_mleBIC.hpjdummyseashpfjhpfj_fixhpfjxhpjlltlogLik.hpjmsenobs.hpjplot.hpjpredict_cssd_pottsprint.hpjssj_atwssj_cssdssj_cssd_pottsssj_fixssj_kfsssj_mletrigseas

Dependencies:nloptrRcppRcppEigen

Formulae
Introduction | Basic model for the HP filter with jumps | Scalar Kalman filtering recursions | Modifications when missing observations are present | Diffuse initial conditions | $t=1$ | $t=2$ | $t=3$ | Smoothing | Weights for computing the effective degrees of freedom | Analytical scores | $\lambda$ free | $\lambda$ fixed
Rendered fromformulae.Rmdusingknitr::rmarkdown

Last update: 2025-10-26
Started: 2024-04-22

Introduction to the jumps package
Introduction | Basic usage | Examples | Simulated time series | Nile time series | Employment in Italy
Rendered fromintroduction.Rmdusingknitr::rmarkdown

Last update: 2025-10-26
Started: 2025-10-26

Readme and manuals

Help Manual

Help pageTopics
Hodrick-Prescott Filter with Jumpsjumps-package jumps
Automatic selection of the optimal HP filter with jumpsauto_hpfj
Automatic selection of the optimal HP filter with jumps and fixed smoothing constantauto_hpfj_fix
Automatic selection of the optimal HP filter with jumps and regressorsauto_hpfjx
Automatic selection of the optimal smoothing spline function with jumps and fixed smoothing parameterauto_ssj_atw
Automatic CSSD with K-fold cross-validation parameter selectionauto_ssj_cssd
Automatic selection of the optimal smoothing spline function with jumps and fixed smoothing parameterauto_ssj_fix
Automatic selection of the optimal time-warping smoothing spline with jumps using the Kalman filter-smootherauto_ssj_kfs
Automatic selection of the optimal time-warping smoothing spline with jumps using maximum-likelihood estimation of sigma, lambda and the time-warpsauto_ssj_mle
BIC method for the class hpjBIC.hpj
ADMM solver for TV denoising with irregular samplingcssd_irregular_eigen
Internal function for computing scores w/r to regression coefficientsda
Seasonal dummy variablesdummyseas
Dataset: employed_ITemployed_IT
HP filter with automatic jumps detection.hpfj
HP filter with automatic jumps detection and fixed smoothing constanthpfj_fix
HP filter with jumps and regressors (still experimental)hpfjx
Hodrick-Prescott filter with jumpshpj
Kalman filtering and smoothing for local linear trend plus noisellt
logLik method for the class hpjlogLik.hpj
Mean squared errormse
nobs method for the class hpjnobs.hpj
Plot method for the class hpjplot.hpj
Predict from a fitted CSSD on new x locationspredict_cssd_potts
Print method for the class hpjprint.hpj
Alternating time-warping algorithm for smoothing splines with jumpssolve_jump_spline_fast
Smoothing splines with with automatic jumps detection and fixed smoothing parameter using the Alternating time-warping algorithmssj_atw
TV denoising (piecewise-constant smoothing) for irregularly sampled signalsssj_cssd
Cubic smoothing spline with discontinuities (paper's exact CSSD)ssj_cssd_potts
Smoothing splines with with automatic jumps detection and fixed smoothing parameterssj_fix
Smoothing splines with automatic jump detection via time-warping and Kalman filter-smoother estimationssj_kfs
Smoothing splines with automatic jump detection via time-warping, with the smoothing parameter lambda estimated by maximum likelihoodssj_mle
Trigonometric seasonal variablestrigseas