Miscellaneous Time Series Filters
Baxter-King filter of a time series
Butterworth filter of a time series
Christiano-Fitzgerald filter of a time series
Hodrick-Prescott filter of a time series
Methods for mFilter objects
Getting started with the mFilter package
Decomposition of a time series into trend and cyclical components usin...
Trigonometric regression filter of a time series
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.