Julia package containing utilities intended for Time Series analysis.

Easily smooth your data in Julia

Collection of basic smoothers and smoothing related applications

julia implementation of Smooth Local Projections (SLP)

Hampel filter implemented in Julia

Provides methods for a linear Gaussian State Space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maximum Likelihood, Expectation-Maximization (EM), and Expectation-Conditional Maximization (ECM), w/ and w/o penalization)

Multivariate Normal Hermite-Birkhoff Uniform Smoothing Splines in Julia

https://juliahub.com/ui/Packages/General/LocalSignalAttributes

Resamples uniformly sampled 1D data at nonuniform locations

Tools for spatio-temporal disaggregation of multivariate time-series with smoothing and regression-based methods

Archive of personal implementations of various Bayesian smoothers.