Package: jumps 1.0

Matteo Pelagatti

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]

jumps_1.0.tar.gz
jumps_1.0.tar.gz(r-4.5-noble)jumps_1.0.tar.gz(r-4.4-noble)
jumps_1.0.tgz(r-4.4-emscripten)jumps_1.0.tgz(r-4.3-emscripten)
jumps.pdf |jumps.html✨
jumps/json (API)

# Install 'jumps' in R:
install.packages('jumps', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

cpp

3.00 score 16 exports 2 dependencies

Last updated 3 hours agofrom:2b2af377fa. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 24 2025
R-4.5-linux-x86_64OKMar 24 2025
R-4.4-linux-x86_64OKMar 24 2025

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

Dependencies:nloptrRcpp

Formulae

Rendered fromformulae.Rmdusingknitr::rmarkdownon Mar 24 2025.

Last update: 2025-03-24
Started: 2025-03-24

Introduction to the jumps package

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Mar 24 2025.

Last update: 2025-03-24
Started: 2025-03-24