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jumps: Hodrick-Prescott Filter and Spline Smoothing with Jumps

A set of functions to compute the Hodrick-Prescott (HP) filter and spline smoothing with automatically selected jumps. The original HP filter and spline smoothing extract a smooth signal, and our version allows for a small number of automatically identified jumps. Smoothing splines with discontinuities are obtained either by time warping, or by the dynamic-programming algorithm of Storath and Weinmann (2024) <doi:10.1080/10618600.2023.2262000>. See Pelagatti, Maranzano and Gatto Ronchieri (2026) <doi:10.48550/arXiv.2610.33137> for details on the smoothing splines with discontinuities, and Maranzano and Pelagatti (2025) <doi:10.1016/j.econmod.2025.107132> for details on the HP filter with jumps.

Version: 2.0.0
Depends: R (≥ 3.5.0)
Imports: Rcpp (≥ 1.0.10), stats, graphics, grDevices, nloptr, utils
LinkingTo: Rcpp, RcppEigen
Suggests: knitr, rmarkdown, testthat (≥ 3.0.0), ggplot2, xts
Published: 2026-10-30
DOI: 10.32614/CRAN.package.jumps
Author: Matteo Pelagatti ORCID iD [aut, cre, cph], Paolo Maranzano ORCID iD [aut, cph], Giulio Cesare Gatto Ronchieri [ctb]
Maintainer: Matteo Pelagatti <matteo.pelagatti at unimib.it>
BugReports: https://github.com/matteopelagatti/jumps/issues
License: GPL-3
URL: https://github.com/matteopelagatti/jumps
NeedsCompilation: yes
Citation: jumps citation info
Materials: README, NEWS
In views: TimeSeries
CRAN checks: jumps results [issues need fixing before 2026-11-20]

Documentation:

Reference manual: jumps.html , jumps.pdf
Vignettes: Formulae (source, R code)
Introduction to the jumps package (source, R code)

Downloads:

Package source: jumps_2.0.0.tar.gz
Windows binaries: r-devel: jumps_1.0.zip, r-release: jumps_1.0.zip, r-oldrel: jumps_2.0.0.zip
macOS binaries: r-release (arm64): jumps_1.0.tgz, r-oldrel (arm64): jumps_1.0.tgz, r-release (x86_64): jumps_1.0.tgz, r-oldrel (x86_64): jumps_1.0.tgz
Old sources: jumps archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=jumps to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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