set_critical_value: Set outlier critical value

In bcmonsell/airutilities: Support routines for fractional airline decomposition routines in the rjd3highfreq package

Set outlier critical value

Description

Set outlier critical value using the Ljung algorithm as given in Ljung, G. M. (1993). On outlier detection in time series. Journal of Royal Statistical Society B 55, 559-567.

Usage

set_critical_value(number_observations, cv_alpha = 0.01)

Arguments

number_observations	number of observations tested for outliers
cv_alpha	alpha for critical value

Value

outlier critical value generated by the algorithm given in Ljung (1993). The critical value in X-13 is different as it is adjusted to allow for smaller values to approximate the normal distribution.

Examples

this_critical_value <- set_critical_value(12, 0.025)

bcmonsell/airutilities documentation built on May 16, 2022, 3:23 p.m.