A set of functions to filter time series based on concepts from robust statistics.
The DESCRIPTION file:
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adore.filter A Robust Adaptive Online Repeated Median Filter for Univariate Time Series const.Q Correction factors to achieve unbiasedness of the regression-free Q scale estimator const Correction factors to achieve unbiasedness of the Qn scale estimator critvals Critical Values for the RM Goodness of Fit Test dfs Degrees of freedom for the SCARM test statistic 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 lms.filter Least Median of Squares (LMS) filter lqd.filter Least Quartile Difference (LQD) filter lts.filter Least Trimmed Squares (LTS) filter madore.filter A Robust Adaptive Online Filter for Multivariate Time Series med.filter Median (MED) filter multi.ts Generated Multivariate Time Series rm.filter Repeated Median (RM) filter 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) var.n Variance of the Repeated Median slope estimator wrm.filter Weighted Repeated Median Filters for Univariate Time Series wrm.smooth Weighted Repeated Median Smoothing
Maintainer: Roland Fried <[email protected]>
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