mFilter (0.1-5)

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Miscellaneous Time Series Filters.

http://www.mbalcilar.net
http://cran.r-project.org/web/packages/mFilter

The mFilter package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package.

Maintainer: Mehmet Balcilar
Author(s): Mehmet Balcilar <mehmet@mbalcilar.net>

License: GPL (>= 2)

Uses: locfit, pastecs, tsDyn, tseriesChaos, tseries, forecast
Reverse suggests: BETS

Released 5 months ago.


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