L1TrendFiltering.jl

A julia implementation for l1 trend filtering. It's just a translation of original matlab code, but something minor has been changed and readability is improved.

Usage

• This package includes a dataset snp500 as a vector.
• The function l1tf returns the result L1tf object. L1tf has two properties:
  • x: Vector{T}, output of $l_{1}$ trend filtering.
  • solved: Bool, if the solution is converged, then true.

In this package, l1tf allows changing other parameters, for instance, linesearch parameters $\alpha$ and $\beta$.

Example

using L1TrendFiltering
using Plots, CSV, DataFrames

y = snp500
result = l1tf(y, 50, verbose = true)
x = result.x

plot(ylabel = "log(price)")
plot!(y, label = "S&P500")
plot!(x, label = "l1tf")