[R-SIG-Finance] Causal version of HP filter and Kernel Smoothing in R?

Brian G. Peterson brian at braverock.com
Fri Feb 24 23:41:47 CET 2012

On Fri, 2012-02-24 at 15:39 -0600, Michael wrote:
> Hi all,
> I am reading a paper talking about extracting low frequency trend in FX
> markets and then devising trading strategies based on those low frequency
> trends.
> I was wondering if there are Causal version of HP filter and kernel
> Smoothing functions in R, as mentioned in that paper?
> I did quite some search but couldn't find any ... Could you please help me?

It would be easier for people to decide whether to help you if you
actually provided the reference to the paper you are looking to

There are many kernel smoothing methods in various R packages, which
your 'quite some search' I am sure uncovered, *and* kernel smoothing
mechanisms are typically rather trivial to code.  So without the
reference it is hard to even begin to evaluate which of them might do
what you are looking for.  Also, it would be polite for you to indicate
in what way the kernel smoothing mechanisms provided by specific
packages do not match the methodology you desire.

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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