l1_tf is an implementation of the interior-point method for trend filtering (also called trend estimation) described in the paper l1 Trend Filtering. l1_tf solves an optimization problem of the form
The figure below shows the l1 trend filtering result for (the log of) the S&P 500 index for the period March 25, 1999 to March 9, 2007, with .
l1_tf is distributed under the terms of the GNU General Public License 2.0.
l1_tf is implemented in both Matlab and C.