⚠️There's a newer version (4.1.6) of this package.Take me there.

robfilter (version 3.1)

Robust Time Series Filters

Description

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

Copy Link

Version

Install

install.packages('robfilter')

Monthly Downloads

567

Version

3.1

License

GPL (>= 2)

Maintainer

Roland Fried

Last Published

August 8th, 2012

Functions in robfilter (3.1)

timecorrection

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

var.n

Variance of the Repeated Median slope estimator.

sizecorrection

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

wrm.filter

Weighted Repeated Median Filters for Univariate Time Series

rm.filter

Repeated Median (RM) filter

med.filter

Median (MED) filter

const

Correction factors to achieve unbiasedness of the Qn scale estimator

robfilter-package

robfilter - Robust time series filters

multi.ts

Generated Multivariate Time Series

critvals

Critical Values for the RM Goodness of Fit Test

dfs

Degrees of freedom for the SCARM test statistic.

adore.filter

A Robust Adaptive Online Repeated Median Filter for Univariate Time Series

hybrid.filter

Robust Hybrid Filtering Methods for Univariate Time Series

const.Q

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

lqd.filter

Least Quartile Difference filter

lts.filter

Least Trimmed Squares (LTS) filter

dr.filter

Deepest Regression (DR) filter

scarm.filter

SCARM (Slope Comparing Adaptive Repeated Median)

lms.filter

Least Median of Squares (LMS) filter

wrm.smooth

Weighted Repeated Median Smoothing

robust.filter

Robust Filtering Methods for Univariate Time Series

madore.filter

A multivariate adaptive online repeated median filter

dw.filter

Robust Double Window Filtering Methods for Univariate Time Series

robreg.filter

Robust Regression Filters for Univariate Time Series