smoothrb function

smoothrb smoothes a time series robustly by using Huber's psi-function. The initialisation uses a moving median.

smoothrb(y, beta = 0, q = NA)

Arguments

• y: the series, a vector or a time series
• beta: smoothing parameter (The larger beta is, the smoother will the smooth component g be.)
• q: length of running median which is used to get initial values

Returns

g vector, the smooth component

Examples

data(GDP)
g  <- smoothrb(GDP,8,q=8)
 
 plot(GDP) ; t <- seq(from = 1970, to = 2009.5,by=0.25) ; lines(t,g,col="red")