Data-licensing release. No R or C++ code changed, and no fitted result changes. (Version 2.0.2 was submitted but did not pass the incoming checks, so its changes are part of this release.)
The test that the default maxsum is enforced
(test-ssj.R) compared sum(gamma) with
maxsum to a relative 1e-8. The augmented-Lagrangian
optimizer satisfies the budget constraint only up to its convergence
tolerance, and on linux-arm64 the sum exceeded the budget by a relative
3e-7. The tolerance is now 1e-5; the fit itself is unchanged.
The data set load_temp (hourly electricity load of
Northern Italy and temperature of Milan) has been removed, together with
the raw GME day-ahead market file
inst/scripts/MGPquant_20230101_20260407.csv, because the
terms of use of the Gestore dei Mercati Energetici (GME) do not allow
their redistribution with the package. demand_temp, the
filtered analysis sample used in the vignette, is unchanged.
inst/scripts/load_temperature.R still documents how the
series is assembled from the GME and Open-Meteo sources, which users can
obtain under GME’s own terms.
Test-only release, addressing the check failures reported on the four CRAN macOS builds. No user-visible code changed, and no fitted result changes.
Three assertions in the test suite required two independent
optimizations over the warping parameters to settle in the same mode.
With a positive warping budget that problem has n-1 free
parameters and a likelihood that is not concave in them, so the mode
reached depends on the platform’s floating-point arithmetic: on Linux
and Windows the runs compared agree to better than 1e-6, while on macOS
they diverged by up to 18 log-likelihood units. The assertions were
testing which mode the optimizer happened to find, not the package.
test-kfs-mle-agreement.R now asserts, for a positive
budget, that ssj_kfs() is never worse than
ssj_mle() at ssj_mle()’s own lambda – which is
the regression this file exists to guard, and which held on every CRAN
platform – and compares the two fits only where they reached the same
optimum. The two tests at maxsum = 0 already worked this
way.test-loglik-scale.R is now
skipped on CRAN. The scale-invariance it illustrates is asserted
pointwise, to 1e-6, by the two tests above it, which pass everywhere;
the selected grid point itself can move whenever the information
criterion is flat, as it is on that data set.This is a major release: the package now covers smoothing splines with discontinuities alongside the original Hodrick-Prescott filter with jumps, which is why the version jumps from 1.0 to 2.0.0.
plot.ssj() gains warp_frac, the share
of the plotting height given to the lower (warp) panel, default
0.3. The panel holds one value per interval and most of
them are zero, so the equal panels the method drew before spent half the
figure on it. Base graphics now use layout() rather than
par(mfrow=), which can only divide the height equally; the
ggplot2 figure uses the panel.heights theme element and so
needs ggplot2 >= 4.0.0, warning if a non-default
warp_frac cannot be honoured. The figure is still a plain
ggplot, so it can be extended with + as
before. The strip label of that panel is shortened from “Domain warp” to
“Warps”, which no longer crowds the axis beside it at the smaller
height.
New family of functions for cubic smoothing splines with
discontinuities (CSSD), implementing the dynamic-programming algorithm
of Storath and Weinmann (2024): ssj_cssd_dp(),
auto_ssj_cssd() (K-fold cross-validation of p
and gamma) and predict_cssd_dp().
ssj_cssd() provides a fast piecewise-constant
(total-variation) approximation for larger problems.
New family of smoothing splines with jumps based on time warping:
ssj_mle()/auto_ssj_mle() (smoothing parameter
estimated by maximum likelihood),
ssj_kfs()/auto_ssj_kfs() (fixed smoothing
parameter) and ssj_atw()/auto_ssj_atw() (fast
alternating time-warping algorithm). All of them support the extended
BIC (ebic) for selecting the jump budget.
The ssj_* functions now return an object of class
ssj, with print and plot methods,
mirroring what hpj() already offered. The object is still a
plain list underneath, so existing code that reaches into its slots
keeps working; it gains a method code, the response
y as the estimator saw it, and the call.
plot() reproduces Figure 4 of the paper: the fitted curve
over the data, vertical lines at the declared discontinuities and a
lower panel with the estimated domain warps; pass prob for
a confidence band. No title is drawn unless one is passed through
main.
New predict() method for ssj objects.
For the domain-warping estimators it evaluates the cubic the model
actually implies – the state carries both the level and the slope at
every sampling site, so the fit is a cubic Hermite in the latent
coordinate – instead of interpolating the fitted values. It was
validated against the exact model-implied interpolation, obtained by
inserting the query points as missing observations and re-running the
Kalman smoother: the two agree to 1e-12. Beyond the range of the data
the fit is extended linearly. CSSD objects are passed to
predict_cssd_dp(), and the piecewise-constant TV fit gets a
step interpolation.
The ssj_* fitters gained a
smoothed_slope slot, the derivative of the fit with respect
to the latent (warped) coordinate, which is what predict()
uses.
ssj_mle(), ssj_kfs(),
ssj_fix() and ssj_atw(), and their
auto_* wrappers, gained a weights argument.
The observation variance becomes lambda*sigma^2/w_i (for
the alternating algorithm the data term becomes
sum w_i (y_i-f_i)^2), so a point with weight
w_i counts as the mean of w_i independent
observations. This makes it correct to collapse tied values of
x to their mean and pass the replicate counts as weights,
which is the right way to handle a covariate with many repeated values:
verified to reproduce the fit on the raw replicates exactly for
ssj_atw() and to 1e-9 and 1e-5 for ssj_fix()
and ssj_kfs(). Unit weights reproduce the previous results
exactly, so nothing existing changes. See the caveat in
?ssj_mle: because that function estimates the noise level,
collapsing loses the within-group scatter that identifies it.
ssj_mle(), ssj_kfs() and
ssj_fix() now collapse tied values of x to
their weighted mean automatically, as ssj_atw() already
did, turning the replicate counts into observation weights and – for
ssj_mle(), which estimates the noise level – feeding the
within-group scatter back into the likelihood. Previously they fitted
the raw replicated data, where the intervals between replicates have
zero length and a warp placed on one of them is a discontinuity between
two observations at the same x, which is not identified. On
the electricity-demand application that made the fit depend on the order
of the rows, with effective degrees of freedom anywhere between 8 and
79. The x, smoothed_level and
gamma slots are now returned on the distinct sites, as they
already were for ssj_atw().
llt() and llt_delta() returned
NA for the whole likelihood when the FIRST observation was
missing: the t = 0 initialisation lacked the missing-value
guard that the loop applies to every later observation. Any series
starting with NA was affected.
ssj_mle() and auto_ssj_mle() gained
ss_within, the pooled within-group sum of squares discarded
when replicates are collapsed to their means. Supplying it alongside the
replicate counts in weights restores the term of the
likelihood that collapsing removes, so the noise level – and hence
lambda – is estimated as if the raw replicates had been
supplied: on a test case the estimated observation variance goes from
0.086 back to 0.021 against a raw-data value of 0.021, at three
different noise levels and to four or five significant digits. It
changes nothing at a fixed smoothing parameter, and nothing when
omitted.
ssj_atw() already collapsed tied values of
x, but gave every collapsed point unit weight, silently
treating a mean of six observations as no more informative than a single
one. It now carries the replicate counts as weights, which changes the
effective degrees of freedom on data with ties (3.52 rather than 2.84 on
a test case).
New function ssj_breaks(), which applies the
detection rule of the paper – a warp counts as a discontinuity when it
clears both 5% of the total warping and 30% of the mean sampling
interval – and returns the declared breaks with their location, warp and
jump size. Breaks are dated at the first observation of the new regime.
An absolute threshold can be given through thresh, as in
Section 4.2 of the paper.
New dataset load_temp with the hourly electricity
load of Northern Italy and the temperature of Milan, and
demand_temp, the filtered analysis sample used in the
demand-versus-temperature application. Both are shipped as
.rda, so neither the 11 MB raw market file nor the
Open-Meteo API call is needed to reproduce the analysis. The script that
derives demand_temp is in
data-raw/demand_temp.R.
The introduction vignette gained two sections: one on the smoothing splines with jumps, and one working through the electricity demand versus temperature application with base graphics only.
The ebic_xi defaults are now calibrated
rather than taken from theory, and they differ by estimator:
0.3 for ssj_mle(), 0.15 for ssj_kfs() and 0.25
for ssj_atw(), against 1, 1 and 0.3 before. Each is the
value that minimises worst-case regret in root mean squared error over a
factorial design of 48 cells – four sample sizes, three noise levels and
four counts of discontinuities, 17,400 replications – shipped as
inst/scripts/xi_calibration.R.
Fits selected by auto_ssj_mle(),
auto_ssj_kfs() and auto_ssj_atw() will
therefore change: the smaller penalties admit more discontinuities. Pass
ebic_xi explicitly to reproduce earlier results.
The three differ for real reasons rather than by accident.
ssj_kfs() sits below ssj_mle() because
auto_ssj_kfs() holds lambda fixed across the
budget grid while auto_ssj_mle() re-estimates it, and being
able to re-tune the smoothness gives more scope to overfit. For
ssj_atw() the optimum falls steadily with the sample size –
roughly 0.32, 0.22, 0.15, 0.12 at n = 50, 100, 200, 400 –
while the total charge per declared discontinuity stays flat at about
3.9, which yields the rule
xi(n) = (3.93 - 0.419*log(n)) / (2*log(n-1)). That rule is
documented and is worth using when n is far from a few
hundred; the constant is the default because it behaves acceptably
everywhere and a default that changes with the data is easy to
overlook.
All three sit below the Chen and Chen (2008) consistency floor of
about 0.5, which is expected rather than a defect: df is
the trace of the smoothing matrix and grows with each activated warp, so
the plain BIC term already pays part of the search cost – about 0.08,
0.17 and 0.21 on the xi scale for the three
estimators.
plot() for ssj objects gains
use_ggplot and defaults to it, as
plot.hpj() already did. The figure is built with ggplot2
and returned rather than drawn, so it can be extended, themed
or saved with ggsave(); the fitted curve and the warp
profile become facets of a single object rather than two separate plots,
so the x axes stay aligned and one value comes back. Pass
use_ggplot = FALSE for base graphics, which draws directly
and returns NULL.
One consequence worth knowing: the plot is now a value, so inside a
loop or a script it has to be printed to appear, exactly as
any ggplot2 figure does.
New auto_ssj_atw_gcv() and
auto_ssj_atw_cv(), which choose the smoothing constant for
the alternating algorithm without recourse to ssj_mle(),
then hand it to auto_ssj_atw() for the warping budget as
before. The first minimises generalized cross-validation over
lambda at zero budget, at one fit per candidate; the second
cross-validates over lambda and the budget jointly and
keeps only lambda. Both accept weights, warn
when the selected value is an endpoint of the grid, and return the
search path.
The two are not equivalent. Cross-validation is the reliable one: the
lambda it selects tracks the maximum-likelihood value
closely and its boundary bound in 0 to 23% of samples on the calibration
design. Generalized cross-validation is around two orders of magnitude
cheaper but degenerates exactly where the method is aimed – with three
clear jumps and sigma = 0.05 its floor bound in 83% of
samples at n = 100 and in every sample at
n = 200, because at zero budget the spline can only
represent a discontinuity by bending, so the criterion improves without
limit as lambda falls. Accuracy is nevertheless within a
few percent of the alternatives, since the floor is a serviceable value;
but it is a floor, not a minimum.
The default lambda grid is built in the normalised
coordinates ssj_atw() works in and mapped back, so it
follows the scale of x – a grid fixed in absolute terms
would suit only one scaling, lambda having the units of
x^3.
ssj_atw() gains a pars slot, holding
the unbiased residual standard deviation and the lambda it
was given, so the smoothing constant can be recovered from a fit as it
already could from the other estimators.
auto_ssj_cssd() searched for the jump
penalty on a grid fixed in absolute terms, so its answer depended on the
units of the response. gamma is a charge per
discontinuity levied against the data-fit and smoothness terms, both of
which scale with the square of the units of y, but the
coarse search grid was
exp(seq(log(0.5), log(100), length.out = 20)) whatever the
data. On the electricity-demand example (demand_temp, sd
1523 MWh, noise variance about 1.3e6) the whole grid lay below 1e-4 of a
single squared residual, where a discontinuity costs nothing: the fit
reported 146 discontinuities among 295 sites, at a cross-validated error
2.8 times worse than the optimum the search never reached, and dividing
y by 1000 gave none at all. On a signal of unit scale the
same grid is the opposite extreme – at sigma = 0.05 on the design of the
simulation study the cross-validated optimum falls below the grid’s
floor, so the estimator was held to fewer discontinuities than
cross-validation wanted. The search is now conducted on y
standardised to unit standard deviation, with gamma mapped
back to the units of y on return, and the grid spans six
orders of magnitude. Fits are now invariant to the units of the response
(agreeing to 4e-11 MWh across a 1e6 change of units). A selected penalty
at the edge of the search range now warns, and the range is exposed as
the new gamma_grid argument. gamma_init is
interpreted in the units of y and cv_score is
reported in the units of y^2.
Scaling the search grid alone would not have sufficed. The search is
parameterised as gamma = p*q/(1-q) with the optimiser
working in logit(q), so the reachable range of
gamma depends on the units of y even when the
grid is scaled with them: on the demand data in MWh that route gives the
right answer, but at a thousandfold larger scale it drifts by two orders
of magnitude and at a millionfold larger scale 1 - q
underflows and the search fails outright. Standardising holds
logit(q) at the same value for every scaling.
q is now also clamped below 1, so an extreme
gamma_grid returns the classical spline rather than
failing.
This changes results. On the electricity-demand data
auto_ssj_cssd() now declares no discontinuities rather than
146; on the simulation design at sigma = 0.05 it declares markedly more
than before. Any CSSD result obtained with an earlier version should be
recomputed.
auto_ssj_atw_cv() cross-validated
optimistically on designs with tied covariate values. Folds
were drawn over the observations, so replicates of the same
x landed in different folds. Since ssj_atw()
collapses tied x inside whatever sample it is handed, the
training set then contained siblings of every held-out point and pinned
the fit at that very covariate value: the criterion measured the error
of predicting a fresh observation at an already observed
x, not at a new one. On tied designs every held-out
observation was affected, and the cross-validated error understated the
quantity of interest by about a third under heavy replication (median
0.043 against 0.064 over six designs with 25 sites and 10-30 replicates
each). Folds are now drawn over the distinct values of x,
so all replicates at a site are held out together; nfolds
is bounded by the number of distinct values rather than by
length(y), and a user-supplied folds that
splits a site now warns. Designs with no ties are unaffected – the two
partitions coincide there – so no previously published result
changes.
ssj_atw() and the criteria behind it used
the wrong effective sample size when the observation weights were not
all one, which includes every fit in which tied values of
x were collapsed, since the replicate counts then become
the weights. mse, gcv, aic,
aicc, bic, hq, the reported
log-likelihood and the reported sigma all divided the
weighted residual sum of squares by sum(weights), as though
it held one degree of freedom per underlying observation. It does not:
y_i is the weighted mean of its replicates and has variance
sigma^2/w_i, so w_i*(y_i - f_i)^2 has
expectation sigma^2 and the weighted rss carries one degree
of freedom per fitted point. The within-group scatter of the
replicates is removed by the collapse and never reaches the routine at
all.
Two consequences, both now fixed by using n. The
reported sigma was far too small – 0.050 against a true
0.200 on a 400-observation, 40-site test, where it now returns 0.193.
And the data-fit term of every criterion was inflated relative to its
penalty by sum(weights)/n, so the penalty was that much too
weak: on the electricity-demand data (1691 observations at 295 distinct
temperatures, a ratio of 5.7) the extended BIC fell monotonically to the
largest budget on the grid and auto_ssj_atw_cv() declared
20 discontinuities, against 4 for auto_ssj_mle() on the
same data. It now declares 2, with an estimated noise standard deviation
of 1096 MWh against 1120 MWh from the within-site scatter, and its
discontinuity at 27 degrees is a subset of the four that
auto_ssj_mle() finds.
Designs with no ties and unit weights are unaffected, n
and sum(weights) being equal there, so no previously
published result changes. The reported log-likelihood now also carries
the 0.5*sum(log(w)) Jacobian of the collapse, which is free
of the budget and so cannot affect selection.
ssj_kfs() and ssj_fix()
frequently failed to converge, returning a scale parameter many
orders of magnitude too large and a log-likelihood far below the
attainable one. Both started the optimiser at a fixed
sdy/10, which bears no relation to the optimum: when
lambda is small the optimal sigma is large –
37 against a start of 0.1 on the test case – and the optimiser diverged.
Against ssj_mle() run on the same data at the same
lambda, where the two fit exactly the same model and must
agree, ssj_kfs() reached a worse optimum in 37 of
40 test replications, with gaps of 800 log-likelihood units;
ssj_fix() was worse still, at around 7,000,000 units.
auto_ssj_kfs() propagated the failure along the whole grid
through its warm start.
Both now start from the profile solution for sigma,
which needs a single filter pass: with lambda fixed,
sigma is a pure scale, so the profile log-likelihood is
maximised at mean(v^2/F) evaluated at
sigma = 1. That lands essentially on the optimum, and it is
followed by a short multi-start in the same spirit as the grid of
lambda starts already used by ssj_mle().
ssj_kfs() now matches ssj_mle() to 1e-10 at
the same lambda, and no longer falls short in any of the 40
replications.
Users of ssj_kfs(), auto_ssj_kfs(),
ssj_fix() or auto_ssj_fix() should re-run
anything fitted with an earlier version.
ssj_mle(), ssj_kfs() and
ssj_atw() reported the log-likelihood of an internally
rescaled copy of y, not of the data as supplied,
and with it the absolute values of aic, aicc,
bic, hq and ebic. All three
divide y by its standard deviation before fitting, and the
Jacobian of that map was never added back, so the reported value sat
below the true one by nobs * log(sd(y)) – 12.5 units on a
60-point test case. The symptom was that multiplying y by
1000 left the reported log-likelihood unchanged, where it should fall by
nobs * log(1000).
All three now report the likelihood on the scale of the data
supplied. ssj_mle() uses nobs + df_within
factors when the within-group scatter has been restored, that being the
number of raw observations. ssj_fix() and the
hpfj*() family never rescaled y and are
unchanged.
This does not change any model selection. The offset
is identical at every maxsum for a given data set, so it
cancels in the comparisons the auto_* functions make; the
budget they choose, the fitted curve and df are all
unaffected. What changes is the reported loglik and the
absolute level of the criteria, which are now comparable across
estimators: on the identical fitted model ssj_kfs() and
ssj_fix() now report a bic of 41.088 against
41.060, where before it was 66.157 against 41.060.
A caveat that remains, and is not a defect of the above: these
fitters approximate the diffuse initial conditions with a large proper
prior (1e5 times the data variance), and the reported
likelihood depends on that arbitrary multiplier – by about
0.5*log(10) per decade per diffuse state. Absolute
criterion values therefore carry an additive constant fixed by that
convention. It is common to all of ssj_mle(),
ssj_kfs() and ssj_fix(), but
ssj_fix() does not rescale x, so its slope
prior differs slightly from the others’; that is the residual 0.03
above. Exact diffuse initialisation would remove the constant
altogether.
The effective degrees of freedom were wrong for every
Kalman-based estimator (ssj_mle(),
ssj_kfs(), ssj_fix(), hpfj(),
hpfj_fix(), hpfjx()), and with them
aic, aicc, bic, hq
and ebic, and hence the jump budget selected by the
auto_* functions. df is the trace of the
smoothing matrix, obtained by summing the observation weights computed
inside llt() and llt_delta() with the
recursion of Koopman and Harvey (2003). Those weights carried the wrong
time index on the backward variance smoother: N was taken
one step too early. Since N grows going backwards, the
subtracted terms overshot and the weights could fall well outside
(0, 1] and sum to a negative number – reported
df values such as -579 on a smooth fit of 60 observations.
The weights are now exactly the diagonal of the hat matrix, verified
against a central-difference computation of it for equally and unequally
spaced designs, with and without observation weights, and with missing
values (which correctly receive weight zero). hpj objects
return the corrected weights in their weights slot.
ssj_atw() was never affected: its df comes
from the trace of A^-1 S in the alternating algorithm.
Note for users reproducing published results: the formula in Appendix B.5 of Maranzano and Pelagatti (2025) carries the same index error, and information criteria computed with earlier versions of this package will differ.
hpfj_fix() reported the wrong value for
pars["gamma"]: it squared the first additional standard
deviation instead of the estimated sqrt(gamma).
plot.hpj() drew an inverted confidence band when
use_ggplot = TRUE and prob was given
(ymin and ymax were swapped, because the
negative quantile from qnorm() was not taken in absolute
value).
plot.hpj() now falls back to base graphics, with a
warning, when ggplot2 is not installed, and only uses
xts when that package is available.
BIC.hpj() failed with “argument to ‘which’ is not
logical” when one of the objects passed through ... had
more than one class. It now uses inherits().
predict_cssd_dp() returned its values in the order
of sort(xnew) rather than in the order of
xnew, silently mis-aligning predictions when the query
points were not sorted.
predict_cssd_dp() returned exactly 0 for query
points falling between the last data site of one segment and the first
data site of the next, that is, precisely around each detected
discontinuity. Segment membership is now determined by cutting at the
midpoint of each gap.
auto_ssj_cssd() could not be called without an
explicit x argument, although its body handled
x = NULL; x now defaults to NULL.
It also sorts and de-duplicates x before cross-validation,
as the other CSSD functions do.
ssj_atw() produced an all-NaN fit when
y contained missing values, which its documentation claimed
to allow. It now raises an informative error pointing to
ssj_kfs()/ssj_mle().
hpfj_fix() used var(y) without
na.rm = TRUE and initialised the filter at
y[1], both of which failed on series with missing
values.
The examples of ssj_atw() and
auto_ssj_atw() failed with “‘x’ and ‘y’ lengths differ”,
because those functions collapse tied x values. All the
spline examples now plot against the x slot of the returned
object.
The paper behind the smoothing splines with discontinuities is
now cited throughout: Pelagatti, Maranzano and Gatto Ronchieri (2026),
“Smoothing splines with some discontinuities”, arXiv:2610.33137, doi:10.48550/arXiv.2610.33137. It appears in
DESCRIPTION, the package help page,
inst/CITATION, the README, the introduction vignette and
the @references of every function implementing one of these
methods – ssj_mle(), ssj_kfs(),
ssj_atw(), ssj_fix() and their
auto_* wrappers, auto_ssj_atw_gcv(),
auto_ssj_atw_cv(), ssj_breaks(), the
print, plot and predict methods
for ssj objects, and the CSSD functions, where it sits
alongside Storath and Weinmann (2024).
The reference for the Hodrick-Prescott filter with jumps –
Maranzano and Pelagatti (2025), Economic Modelling 150, 107132,
doi:10.1016/j.econmod.2025.107132 – is now also given in
the @references of every function of that family, which
previously cited it only at package level: hpj(),
hpfj(), hpfj_fix(), hpfjx(),
their auto_* wrappers and the print,
plot, logLik, nobs and
BIC methods for hpj objects. The two families
are now documented symmetrically, each function pointing at the paper
introducing it.
inst/CITATION referred to
ssj_cssd_potts(), which was renamed
ssj_cssd_dp() in this release, and gained a header for the
Hodrick-Prescott entry so that each of the three references says which
functions it covers.
The NAMESPACE file is now generated by
roxygen2, so that exports and imports can no longer
drift apart from the source (hpfj_fix() was exported by
hand but had no @export tag).
Argument and return-value documentation has been made uniform
across all functions, and several mismatches with the code have been
fixed: the maxit/maxit_nm argument of
auto_ssj_cssd(), the std_devs slot of
hpj() objects (actually named sigmas), the
documented default of the ic argument of
auto_ssj_atw(), and the dangling link to a non-existent
cssd_cv_lambda().
predict_cssd_dp() extrapolated beyond the end knots
of a segment with that segment’s end cubic. The reference implementation
of Storath and Weinmann extends each segment linearly from its end knots
(linext_pp), which is the convention CSSD is defined with;
a cubic extrapolation diverges quickly across the gaps around a
discontinuity. It now extends linearly.
predict() on a domain-warping fit extrapolated
beyond the data using the physical slope just inside the end interval,
that is the latent slope times that interval’s dilation
tau/delta. The warps live strictly between observations, so
outside the sample the dilation is 1. On a boundary interval carrying a
warp the factor can be several tens – one simulated replication had
tau/delta = 40, turning a slope of 6.6 into 267 and
predicting -11.7 where the signal was 0. It now extrapolates with the
bare latent slope.
The documentation of ssj_cssd() no longer claims
that the difference operator is weighted by 1/dx; the
implementation deliberately uses the unweighted operator.
hpj() now raises an explicit error when
xreg is supplied, instead of documenting an argument that
was not implemented.
The default maxsum of ssj_mle() was
sd(y)/mean(diff(x)), a formula inherited from
ssj_fix(), where the budget constrains disturbance standard
deviations. For the domain-warping estimators the budget is expressed in
the units of x, so the old default was on the wrong scale:
on faithful it evaluated to about 1053 against an x-range
of 3.5, leaving the warping effectively unconstrained. It is now
max(x) - min(x), matching both ssj_kfs() and
the upper end of the grid searched by auto_ssj_mle(). Calls
that pass maxsum explicitly are unaffected.
ssj_mle(), ssj_kfs() and
ssj_fix() gave different results depending on the order in
which the observations were supplied, even when the covariate had no
ties. They computed var(diff(y)) on the unsorted
response and used it to scale the diffuse prior on the slope, so a
permutation of the rows changed the starting point of the Kalman filter
(by a factor of 6.5 on the demand_temp data). It is now
computed after sorting by x. Results for input that was
already sorted by x are unchanged.
ssj_kfs() silently ignored its own default
maxsum. The default, max(x) - min(x), refers
to x, and R forces such a default lazily, at its first use;
that happened only after x had been rescaled to
[0, 1], so the budget evaluated to 1 instead of the range
of x. The defaults of ssj_kfs(),
ssj_mle() and ssj_atw() are now forced while
x is still on its original scale. Calls that pass
maxsum explicitly were never affected.
The examples of ssj_atw(), ssj_kfs()
and ssj_mle() used maxsum = 150 on the
faithful data. For the domain-warping estimators
maxsum is a budget in the units of x, whose
range there is about 3.5, so the budget was some forty times the whole
domain and the resulting fits were degenerate (the Kalman variant even
reported negative effective degrees of freedom). The examples now use a
budget of 1.
The reference for the HP filter with jumps has been updated to
the published article: Maranzano and Pelagatti (2025), Economic
Modelling 150, 107132, doi:10.1016/j.econmod.2025.107132, replacing the FEEM
working paper in DESCRIPTION, inst/CITATION,
the package help page, the README and the introduction
vignette.
Package-level documentation is now generated from
R/jumps-package.R, and the reference papers, replication
data and rendered vignettes are no longer shipped inside the source
tarball.