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robfilter (version 4.1)

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

567

Version

4.1

License

GPL (>= 2)

Maintainer

Roland Fried

Last Published

December 5th, 2014

Functions in robfilter (4.1)

dr.filter

Deepest Regression (DR) filter

dfs

Degrees of freedom for the SCARM test statistic.

lqd.filter

Least Quartile Difference filter

med.filter

Median (MED) filter

const.Q

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

wrm.smooth

Weighted Repeated Median Smoothing

var.n

Variance of the Repeated Median slope estimator.

timecorrection

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

lms.filter

Least Median of Squares (LMS) filter

const

Correction factors to achieve unbiasedness of the Qn scale estimator

critvals

Critical Values for the RM Goodness of Fit Test

scarm.filter

SCARM (Slope Comparing Adaptive Repeated Median)

rm.filter

Repeated Median (RM) filter

madore.filter

A multivariate adaptive online repeated median filter

mscarm.filter

MSCARM (Multivariate Slope Comparing Adaptive Repeated Median)

multi.ts

Generated Multivariate Time Series

dw.filter

Robust Double Window Filtering Methods for Univariate Time Series

wrm.filter

Weighted Repeated Median Filters for Univariate Time Series

adore.filter

A Robust Adaptive Online Repeated Median Filter for Univariate Time Series

robreg.filter

Robust Regression Filters for Univariate Time Series

hybrid.filter

Robust Hybrid Filtering Methods for Univariate Time Series

robust.filter

Robust Filtering Methods for Univariate Time Series

sizecorrection

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

robfilter-package

robfilter - Robust time series filters

lts.filter

Least Trimmed Squares (LTS) filter