Package: jumps 1.0

jumps: Hodrick-Prescott Filter with Jumps

A set of functions to compute the Hodrick-Prescott (HP) filter with automatically selected jumps. The original HP filter extracts a smooth trend from a time series, 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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jumps.pdf |jumps.html✨
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

4.95 score 16 exports 2 dependencies

Last updated 1 days agofrom:02a6c78709. Checks:12 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 25 2025
R-4.5-win-x86_64OKMar 25 2025
R-4.5-mac-x86_64OKMar 25 2025
R-4.5-mac-aarch64OKMar 25 2025
R-4.5-linux-x86_64OKMar 25 2025
R-4.4-win-x86_64OKMar 25 2025
R-4.4-mac-x86_64OKMar 25 2025
R-4.4-mac-aarch64OKMar 25 2025
R-4.4-linux-x86_64OKMar 25 2025
R-4.3-win-x86_64OKMar 25 2025
R-4.3-mac-x86_64OKMar 25 2025
R-4.3-mac-aarch64OKMar 25 2025

Exports:auto_hpfjauto_hpfj_fixauto_hpfjxBIC.hpjdummyseashpfjhpfj_fixhpfjxhpjlltlogLik.hpjmsenobs.hpjplot.hpjprint.hpjtrigseas

Dependencies:nloptrRcpp

Formulae

Rendered fromformulae.Rmdusingknitr::rmarkdownon Mar 25 2025.

Last update: 2025-03-15
Started: 2024-04-22

Introduction to the jumps package

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Mar 25 2025.

Last update: 2025-03-23
Started: 2025-03-15