timecor: Correction factors for the scale estimation of the filtering...

In robfilter: Robust Time Series Filters

Correction factors for the scale estimation of the filtering procedure proposed by Fried (2004).

Description

Fried's (2004) signal extraction procedure includes optional rules for outlier replacement based on local scale estimation. Since detected outliers are treated as missing values, the finite sample correction for the scale estimation is adjusted for the reduced sample size, using the correction factors in the dataset 'timecorrection'.

Usage

timecorrection

Format

A (250x16)-matrix containing the correction factors for the scale estimators MAD, Qn, Sn, and LSH and for the outlier treatments 'trimming', 'downsizing large values', 'downsizing moderate values', and 'winsorization'.

Source

The correction factors have been obtained by simulations.

References

Fried, R. (2004), Robust Filtering of Time Series with Trends, Journal of Nonparametric Statistics 16, 313-328.

See Also

robust.filter.

robfilter documentation built on Nov. 10, 2022, 5:41 p.m.