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robfilter (version 3.0)

Robust Time Series Filters

Description

A set of functions to filter time series based on concepts from robust statistics.

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Version

Install

install.packages('robfilter')

Monthly Downloads

844

Version

3.0

License

GPL (>= 2)

Maintainer

Matthias Borowski

Last Published

July 28th, 2011

Functions in robfilter (3.0)

wrm.filter

Weighted Repeated Median Filters for Univariate Time Series

lts.filter

Least Trimmed Squares (LTS) filter

lqd.filter

Least Quartile Difference filter

wrm.smooth

Weighted Repeated Median Smoothing

robfilter-package

robfilter - Robust time series filters

const.Q

Correction factors to achieve unbiasedness of the regression-free Q scale estimator

dr.filter

Deepest Regression (DR) filter

timecorrection

Correction factors for the scale estimation of the filtering procedure proposed by Fried (2004).

dfs

Degrees of freedom for the SCARM test statistic.

const

Correction factors to achieve unbiasedness of the Qn scale estimator

var.n

Variance of the Repeated Median slope estimator.

critvals

Critical Values for the RM Goodness of Fit Test

lms.filter

Least Median of Squares (LMS) filter

madore.filter

A Robust Adaptive Online Filter for Multivariate Time Series

sizecorrection

Bias correction factors for the robust scale estimators MAD, Sn, Qn, and LSH

multi.ts

Generated Multivariate Time Series

rm.filter

Repeated Median (RM) filter

robreg.filter

Robust Regression Filters for Univariate Time Series

hybrid.filter

Robust Hybrid Filtering Methods for Univariate Time Series

med.filter

Median (MED) filter

scarm.filter

SCARM (Slope Comparing Adaptive Repeated Median)

robust.filter

Robust Filtering Methods for Univariate Time Series

adore.filter

A Robust Adaptive Online Repeated Median Filter for Univariate Time Series

dw.filter

Robust Double Window Filtering Methods for Univariate Time Series