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.