similar to: Code for Hodrick-Prescott Filter: Special Case of smooth. spline?

Has anyone written any code for the Hodrick-Prescott filter? I have a some uncompiled FORTRAN code from Ed Prescott but I'd like to save myself some programming time if possible. Thanks for your help. Nick Davis Crown Financial Policy Asset and Liability Management Branch The New Zealand Treasury Direct: +64-4-471-5924 Fax: +64-4-499-0143 Email:

Could someone, please, write me, how to compute the spar-value for the smooth.spline-routine to get the same HP-filtered time-series with a parameter lambda for a function (see mail "Hodrick-Prescott-Filter example" from ggrothendieck at yifan.net): hpf <- function(y,lambda{ eye <- diag(length(y)) d <- diff(eye,d=2) z <- solve(eye+lambda*crossprod(d),y)} ? Second, is

Can someone please show me how to smooth time series data that I have in the form of a zoo object? I have a monthly economies series and all I really need is to see a less jagged line when I plot it. If I do something like s <- smooth.spline(d.zoo$Y, spar = 0.2) plot(predict(s,index(d.zoo)), xlab = "Year") # not defined for Date objects and if I do something like

Dear All, How to do Hodrick-Prescott Filter in R? Thanks! [[alternative HTML version deleted]]

Dear R users I am currently investigating time series analysis using an irregular time series. Our study is looking at vegetation change in areas of alien vegetation growth after clearing events. The irregular time series is sourced from Landsat ETM+ data, over a six year period I have 38 scenes. For certain periods I have monthly data while for others, images are up to three months apart. So far

Hello, I come from a non statistics background, but R is available to me, and I needed to test an implementation of smoothing spline that I have written in c++, so I would like to match the results with R (for my unit tests) I am following http://www.nabble.com/file/p25569553/SPLINES.PDF SPLINES.PDF where we have a list of points (xi, yi), the yi points are random such that: y_i = f(x_i) +

Hi all, Forecasting from an arima model is easy with predict. But I can't manage to backcast : invent data from the model before the begining of the sample. The theory is easy : take your parameters, reverse your data, forecast, and then reverse the forecast I've tried to adapt the predict function to do that (i'm not sure that the statistical procedure is fine (with the residuals),

Hi, I posted some days ago a question concerning the computation of lambda in the smooth.spline function (which I repreat at the bottom of the mail) given _df_ . Unfortunately the documentation is not clear to me. Maybee someone can help to answer in my view the basic question: If the penalized log likelihood is L = (y - f)' W (y - f) + lambda c' Sigma c how the _lambda_ in the above

Hi is it possible to fit a trend line (or some other panel function) through each of multiple data series plotted on the same graph? Specifically, while one can do something like xyplot(a+b+c~x) which plots three series, a,b & c, but can one automatically fit lines through each of them? I suppose one could generate three more variables afit, bfit, and cfit with a model & predict and

Dear R listers, When using smooth.spline to interpolate data, results are generally good. However, some cases produce totally unreasonable results. The data are values of pressure, temperature, and salinity from a probe that is lowered into the ocean, and the objective is to interpolate temperature and salinity to specified pressures. While smooth.spline provides excellent values at the

Everyone, One of our developers was kind enough to insert some bug checking into the mod_auth_pam and mod_auth_sys_group so that we could see a little more of what was going on with our authentication failures. Here is what we just saw. Two of our users NA\connelmp and NA\guminssa both started getting messages that they were not part of the required group. Here is the log for

Dear list, if I do smooth.spline(tmpSec, tmpT, all.knots=T) with the attached data, I get this error-message: Error in smooth.spline(tmpSec, tmpT, all.knots = T) : smoothing parameter value too small If I do smooth.spline(tmpSec[-single arbitrary number], tmpT[-single arbitrary number], all.knots=T) it works! I just don't see it. It works for hundrets other datasets, but not for

Hi r-helpers. Please forgive my ignorance, but I would like to plot a smoothing spline (smooth.spline) from package "stats", and show the knots in the plot, and I can't seem to figure out where smooth.spline has located the knots (when I use nknots). Unfortunately, I don't know a lot about splines, but I know that they provide me an easy way to estimate the location of local

Hi, I recently had a problem installing the rgl package on OS X and put together a simple patch. The patched package is available here: http://jinome.stanford.edu/files/rgl_0.66-patched_for_gcc4.tar.gz It can be installed with "R CMD INSTALL rgl_0.66-patched_for_gcc4.tar.gz" as normal at the command line. Also -- as of right now rgl is not in the repository of version 2.3 packages

Hi, I am having an issue with a custom panel for lattice. The problem comes when I try passing a groups argument. Here is the custom panel, a wrapper for smooth spline. I copied panel.loess and replaced the loess arguments with smooth.spline(). [Note: I would like to use the cross-validation fitting properties of smooth.spline.] library(lattice)

Everyone, Here is a challenge for all of you samba experts! Lately I have been seeing a problem where winbind is not correctly identifying a user as a member of a group he most certainly belong to. This is with a Domain Local group so I know samba should support it. Users access a HTTPS (SSL) webpage that is secured by a Domain Local group. Sometimes they get in,

Dear R-helpers: (this is part of a bigger program) the following fails as a function, but runs OK if we comment out the fnfn_ function() line. Any hint would be appreciated. -Yudi- R : Copyright 1998, The R Development Core Team Version 0.63.0 Beta (Nov 13, 1998) -- on WIndows3.11 fnfn _ function (m=10,n=10,spar=2) { fn _ function(u,v){ uc_ u-floor(m/2)-1 vc_ v-floor(n/2)-1

Hi, I am trying to compile R-2.2.1 on Solaris 2.9 with a 64-bit build. Following the instructions in "R Installation and Adminstration", I changed the following settings in "config.site": CC="gcc -m64" F77="g77 -64" CXX="g++ -m64" LDFLAGS="-L/usr/local/lib/sparcv9 -L/usr/local/lib" But I got the following error messages:

Hi, I've downloaded the 'tree' package (as 'tree_1_0-2_tar.gz') and am trying to install it to use with R in Windows NT. And, to be blunt, I've got no idea what I'm doing. As far as I can tell, the FAQ refers to installing packages in Unix and isn't a great help to me - I was hoping someone could give me some basic instructions on how to proceed. Thanks, Michael

Under freebsd 6.2-p7 i386, R 2.5.1,gcc-4.2.2 I'm unable to compile package lpSolve because: hpbsd# R CMD INSTALL lpSolve_5.5.8.tar.gz * Installing to library '/usr/local/lib/R/library' * Installing *source* package 'lpSolve' ... ** libs cc -std=gnu99 -I/usr/local/lib/R/include -I/usr/local/lib/R/include -I . -DINTEGERTIME -DPARSER_LP -DBUILDING_FOR_R -DYY_NEVER_INTERACTIVE