It computes the mean squared difference between the elements
of the vectors x and y.

A set of functions to compute the Hodrick-Prescott (HP)
filter with automatically selected jumps. The original
HP filter extracts a smooth trend from a time series, and our version
allows for a small number of automatically identified jumps.
See Maranzano and Pelagatti (2024) <doi:10.2139/ssrn.4896170> for details.

Matteo Pelagatti

jumps

Hodrick-Prescott Filter with Jumps

Paolo Maranzano

mse function

<dl><dt>y</dt>
<dd>vector</dd>
<dt>x</dt>
<dd>vector</dd></dl>

Arguments

Mean squared error — mse

<dl>

<dt>y</dt>
<dd>vector</dd>


<dt>x</dt>
<dd>vector</dd>

</dl>

mse: Mean squared error

Description

Usage

Value

Arguments