l1tf: l1 trend filtering

This is an R package wrapper around the C solver for the l1 trend filtering algorithm written by Kwangmoo Koh, Seung-Jean Kim and Stephen Boyd.

Installation

You can install the development version of l1tf from GitHub with:

# install.packages("devtools")
devtools::install_github("hadley/l1tf")

Examples

library(l1tf)
plot(sp500$log, type='l', col='blue')
lines(l1tf(sp500$log, lambda = 50), col = "red", type='l')
lines(l1tf(sp500$log, prop = 0.01), col = "green3", type='l')
#> Using lambda 374