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

Downloads:

Reference manual: robfilter.pdf
Package source: robfilter_4.1.2.tar.gz
Windows binaries: r-devel: robfilter_4.1.2.zip, r-devel-gcc8: robfilter_4.1.2.zip, r-release: robfilter_4.1.2.zip, r-oldrel: robfilter_4.1.1.zip
OS X binaries: r-release: robfilter_4.1.2.tgz, r-oldrel: robfilter_4.1.1.tgz
Old sources: robfilter archive

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