[ANN] L1TrendFiltering.jl: Imprementation of l1 Trend Filtering

Package Announcements
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L1TrendFiltering.jl

In this week, I noticed there is no l1 trend filtering package in julia. I’m happy to share this package. You can test julia l1tf function as following:

using L1TrendFiltering
using Plots, CSV, DataFrames

y = snp500
result = l1tf(y, 50, verbose = true)
x = result.x

plot(ylabel = "log(price)")
plot!(y, label = "S&P500")
plot!(x, label = "l1tf")

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image500×300 7.1 KB

▲ original matlab version

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image600×400 37.7 KB

▲ L1TrendFiltering.jl

4 Likes
2

Does this package produce similar results?

3

It is hard to tell as the last update of the L1AdaptiveTrendFilter.jl package was in January 2017, that is, at the time the version of Julia was 0.5.

4

Is it supposed to be hard to run old Julia code?