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.
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