This project forked from hadley/l1tf
L1 trend filtering
License: Other
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.
l1tf is not currently on CRAN, but you can install from github with:
# install.packages("devtools")
install_github("hadley/l1tf")
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')
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