Robust Time Series Filters

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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install.packages("robfilter")

4.1.2 by Roland Fried, 3 months ago


http://www.statistik.tu-dortmund.de/fried.html


Browse source code at https://github.com/cran/robfilter


Authors: Roland Fried [aut, cre] , Karen Schettlinger [aut] , Matthias Borowski [aut] , Robin Nunkesser [ctb] , Thorsten Bernholt [ctb]


Documentation:   PDF Manual  


Task views: Robust Statistical Methods, Time Series Analysis


GPL (>= 2) license


Imports stats, graphics, utils

Depends on robustbase, MASS, lattice

System requirements: C++11


See at CRAN