robfilter4.1.5 package

Robust Time Series Filters

wrm.smooth

Weighted Repeated Median Smoothing

sizecor

Bias correction factors for the robust scale estimators MAD, Sn, Qn, a...

adore.filter

A Robust Adaptive Online Repeated Median Filter for Univariate Time Se...

dr.filter

Deepest Regression (DR) filter

dw.filter

Robust Double Window Filtering Methods for Univariate Time Series

hybrid.filter

Robust Hybrid Filtering Methods for Univariate Time Series

timecor

Correction factors for the scale estimation of the filtering procedure...

lms.filter

Least Median of Squares (LMS) filter

lqd.filter

Least Quartile Difference filter

lts.filter

Least Trimmed Squares (LTS) filter

madore.filter

A multivariate adaptive online repeated median filter

med.filter

Median (MED) filter

mscarm.filter

MSCARM (Multivariate Slope Comparing Adaptive Repeated Median)

rm.filter

Repeated Median (RM) filter

robfilter-package

tools:::Rd_package_title("robfilter")

robreg.filter

Robust Regression Filters for Univariate Time Series

robust.filter

Robust Filtering Methods for Univariate Time Series

scarm.filter

SCARM (Slope Comparing Adaptive Repeated Median)

wrm.filter

Weighted Repeated Median Filters for Univariate Time Series

Download source packageRead PDF manual

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>.