Fried's (2004) signal extraction procedure includes optional rules for outlier replacement based on local scale estimation. Since detected outliers are treated as missing values, the finite sample correction for the scale estimation is adjusted for the reduced sample size, using the correction factors in the dataset 'timecorrection'.

datasets

timecorrection

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

Matthias Borowski

robfilter

Robust Time Series Filters

timecorrection function

encoding

docType

A (250x16)-matrix containing the correction factors for the scale estimators MAD, Qn, Sn, and LSH and for the outlier treatments 'trimming', 'downsizing large values', 'downsizing moderate values', and 'winsorization'.

format

The correction factors have been obtained by simulations.

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

Description

Usage

Arguments

encoding

docType

format

source

References

See Also