Thanks Brian.

http://xfi.exeter.ac.uk/workingpapers/0804.pdf

My understanding is that those kernel smoothers and HP filters are all
non-causal...

i.e. they peek into future from time-series point-of-view...

Therefore, I am looking for the Causal version.

Thank you!

On Fri, Feb 24, 2012 at 4:41 PM, Brian G. Peterson <brian@braverock.com>wrote:

>  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
> replicate.
>
> 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
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>

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