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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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Install
install.packages('robfilter')
Monthly Downloads
587
Version
4.1
License
GPL (>= 2)
Maintainer
Roland Fried
Last Published
December 5th, 2014
Functions in robfilter (4.1)
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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