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robfilter (version 4.1.6)

Robust Time Series Filters

Description

Implementations for several robust procedures that allow for (online) extraction of the signal of univariate or multivariate time series by applying robust regression techniques to a moving time window are provided. Included are univariate filtering procedures based on repeated-median regression as well as hybrid and trimmed filters derived from it; see Schettlinger et al. (2006) . The adaptive online repeated median by Schettlinger et al. (2010) and the slope comparing adaptive repeated median by Borowski and Fried (2013) choose the width of the moving time window adaptively. Multivariate versions are also provided; see Borowski et al. (2009) for a multivariate online adaptive repeated median and Borowski (2012) for a multivariate slope comparing adaptive repeated median. Furthermore, a repeated-median based filter with automatic outlier replacement and shift detection is provided; see Fried (2004) .

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Version

Install

install.packages('robfilter')

Monthly Downloads

926

Version

4.1.6

License

GPL (>= 2)

Maintainer

Roland Fried

Last Published

November 17th, 2025

Functions in robfilter (4.1.6)

multi.ts

Generated Multivariate Time Series
robfilter-package

tools:::Rd_package_title("robfilter")
robust.filter

Robust Filtering Methods for Univariate Time Series
rm.filter

Repeated Median (RM) filter
med.filter

Median (MED) filter
sizecorrection

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

MSCARM (Multivariate Slope Comparing Adaptive Repeated Median)
wrm.smooth

Weighted Repeated Median Smoothing
var.n

Variance of the Repeated Median slope estimator.
robreg.filter

Robust Regression Filters for Univariate Time Series
wrm.filter

Weighted Repeated Median Filters for Univariate Time Series
timecorrection

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

SCARM (Slope Comparing Adaptive Repeated Median)
lts.filter

Least Trimmed Squares (LTS) filter
madore.filter

A multivariate adaptive online repeated median filter
hybrid.filter

Robust Hybrid Filtering Methods for Univariate Time Series
critvals

Critical Values for the RM Goodness of Fit Test
const.Q

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

Least Median of Squares (LMS) filter
dr.filter

Deepest Regression (DR) filter
dw.filter

Robust Double Window Filtering Methods for Univariate Time Series
const

Correction factors to achieve unbiasedness of the Qn scale estimator
adore.filter

A Robust Adaptive Online Repeated Median Filter for Univariate Time Series
dfs

Degrees of freedom for the SCARM test statistic.
lqd.filter

Least Quartile Difference filter