Help using smooth.spline with zoo object
For equally spaced observations this is quite simple and available in various packages but I like Gabor Grothendieck's version (which didn't come up immediately in my Rseek search: hpfilter <- function(y,lambda=1600) eye <- diag(length(y)) solve(eye+lambda*crossprod(diff(eye,d=2)),y)} url: www.econ.uiuc.edu/~roger Roger Koenker email rkoenker at uiuc.edu Department of Economics vox: 217-333-4558 University of Illinois fax: 217-244-6678 Champaign, IL 61820
On Apr 4, 2009, at 2:19 PM, Rob Denniker wrote:
Can someone please show me how to smooth time series data that I have in the form of a zoo object? I have a monthly economies series and all I really need is to see a less jagged line when I plot it. If I do something like s <- smooth.spline(d.zoo$Y, spar = 0.2) plot(predict(s,index(d.zoo)), xlab = "Year") # not defined for Date objects and if I do something like plot(predict(s,as.numeric(index(d.zoo))), xlab = "Year") # one straight line, no matter the value of spar What am I doing wrong? (The unsmoothed series plots just fine - a noisy upward trend) Thanks in advance. P.S. I would really just like to keep varying the penalty parameter 'lambda' of a Hodrick-Prescott filter until I get a 'smooth enough' series, but an archive search suggests that if I ask for this, some smarty pants will reply saying that the HP filter is just the smooth.spline function applied with a particular choice of lambda and equally spaced observations.
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