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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: | 4.1.4 |
| Depends: | R (≥ 3.6.0), robustbase, MASS, lattice |
| Imports: | stats, graphics, utils |
| Published: | 2023-12-06 |
| 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: | https://msnat.statistik.tu-dortmund.de/en/team/chair/ |
| NeedsCompilation: | yes |
| In views: | Robust, TimeSeries |
| CRAN checks: | robfilter results |
| Reference manual: | robfilter.pdf |
| Package source: | robfilter_4.1.4.tar.gz |
| Windows binaries: | r-devel: robfilter_4.1.4.zip, r-release: robfilter_4.1.4.zip, r-oldrel: robfilter_4.1.4.zip |
| macOS binaries: | r-release (arm64): robfilter_4.1.4.tgz, r-oldrel (arm64): robfilter_4.1.4.tgz, r-release (x86_64): robfilter_4.1.4.tgz, r-oldrel (x86_64): robfilter_4.1.4.tgz |
| Old sources: | robfilter archive |
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