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

rmsmsgood
Sun, 27 Oct 2024 04:52:41 +0000
Package Announcements

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")

▲ original matlab version

▲ L1TrendFiltering.jl

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