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 [aut, cre, cph], Paolo Maranzano [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_1.0.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.