robar | R Documentation |
Fit an autoregressive time series model to the data using robust algorithms.
robar(x, order = 2, scaler = "s_FastQn")
x |
a univariate time series. |
order |
an order of model to fit. |
scaler |
location-scale estimator to use in the algorithm.
By default, |
This function is a robust replacement for ar()
.
Note, that implementation and documentation is not finished/polished yet.
A list of class "ar"
. For description of elements see ar()
.
WORK-IN-PROGRESS status.
Paul Smirnov <s.paul@mail.ru>
Shevlyakov, G. L., Lyubomishchenko, N. S. and Smirnov, P. O. (2013). Some remarks on robust estimation of power spectra. Proceedings of the 11th International Conference on Computer Data Analysis and Modeling, Minsk, Belarus, 97–104.
n <- 100 set.seed(361) eps <- as.ts(rnorm(n)) x <- arima.sim(list(ar=c(1,-0.9)), n, innov=eps) # basic signal z <- as.ts(rbinom(n, 1, 0.1) * rnorm(n, sd=10)) # noise y <- x + z spec.ar(robar(y, order=2))
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