Hodrick-Prescott Filter and Spline Smoothing with Jumps

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Documentation for package ‘jumps’ version 2.0.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

auto_hpfj	Automatic selection of the optimal HP filter with jumps
auto_hpfjx	Automatic selection of the optimal HP filter with jumps and regressors
auto_hpfj_fix	Automatic selection of the optimal HP filter with jumps and fixed smoothing constant
auto_ssj_atw	Automatic selection of the optimal smoothing spline with jumps using the alternating time-warping algorithm
auto_ssj_atw_cv	Smoothing splines with jumps by alternating time warping, with the smoothing constant chosen by cross-validation
auto_ssj_atw_gcv	Smoothing splines with jumps by alternating time warping, with the smoothing constant chosen by generalized cross-validation
auto_ssj_cssd	Automatic CSSD with K-fold cross-validation of the parameters
auto_ssj_fix	Automatic selection of the optimal smoothing spline with jumps and fixed smoothing parameter
auto_ssj_kfs	Automatic selection of the optimal time-warping smoothing spline with jumps using the Kalman filter and smoother
auto_ssj_mle	Automatic selection of the optimal time-warping smoothing spline with jumps using maximum-likelihood estimation
BIC.hpj	BIC method for the class hpj
demand_temp	Electricity demand and temperature: the analysis sample
dummyseas	Seasonal dummy variables
employed_IT	Employed people in Italy by age class
hpfj	HP filter with automatic jump detection
hpfjx	HP filter with jumps and regressors (still experimental)
hpfj_fix	HP filter with automatic jump detection and fixed smoothing constant
hpj	Hodrick-Prescott filter with jumps
llt	Kalman filtering and smoothing for local linear trend plus noise
load_temp	Hourly electricity load of Northern Italy and temperature of Milan
logLik.hpj	logLik method for the class hpj
mse	Mean squared error
nobs.hpj	nobs method for the class hpj
plot.hpj	Plot method for the class hpj
plot.ssj	Plot method for the class ssj
predict.ssj	Predict from a smoothing spline with jumps
predict_cssd_dp	Predict from a fitted CSSD at new locations
print.hpj	Print method for the class hpj
print.ssj	Print method for the class ssj
ssj_atw	Smoothing splines with automatic jump detection using the alternating time-warping algorithm
ssj_breaks	Discontinuities declared by a smoothing spline with jumps
ssj_cssd	Total-variation denoising for irregularly sampled signals
ssj_cssd_dp	Cubic smoothing spline with discontinuities (CSSD)
ssj_fix	Smoothing splines with automatic jump detection and fixed smoothing parameter
ssj_kfs	Smoothing splines with automatic jump detection via time warping and Kalman filter-smoother estimation
ssj_mle	Smoothing splines with automatic jump detection via time warping and maximum-likelihood estimation of the smoothing parameter
trigseas	Trigonometric seasonal variables