robfilter: 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) <doi:10.1515/BMT.2006.010>. The adaptive
online repeated median by Schettlinger et al. (2010) <doi:10.1002/acs.1105>
and the slope comparing adaptive repeated median by Borowski and Fried (2013)
<doi:10.1007/s11222-013-9391-7> choose the width of the moving time
window adaptively. Multivariate versions are also provided; see
Borowski et al. (2009) <doi:10.1080/03610910802514972> for a multivariate
online adaptive repeated median and Borowski (2012) <doi:10.17877/DE290R-14393>
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) <doi:10.1080/10485250410001656444>.
| Version: |
4.1.2 |
| Depends: |
R (≥ 3.6.0), robustbase, MASS, lattice |
| Imports: |
stats, graphics, utils |
| Published: |
2019-11-21 |
| Author: |
Roland Fried [aut, cre],
Karen Schettlinger [aut],
Matthias Borowski [aut],
Robin Nunkesser [ctb],
Thorsten Bernholt [ctb] |
| Maintainer: |
Roland Fried <fried at statistik.tu-dortmund.de> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
http://www.statistik.tu-dortmund.de/fried.html |
| NeedsCompilation: |
yes |
| SystemRequirements: |
C++11 |
| In views: |
Robust, TimeSeries |
| CRAN checks: |
robfilter results |
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