robts: Robust Time Series Analysis

Provides various approaches for robust estimation of (partial) autocorrelation and autocovariance. There are also procedures for robust fitting and filtering of AR(p) processes as well as for robust change point detection.

AuthorAlexander Dürre [aut, cre], Roland Fried [aut], Tobias Liboschik [aut], Jonathan Rathjens [aut], R Core Team [ctb] (for source file ks.c/ routines 'pKS2' and 'pKolmogorov2x')
Date of publication2016-12-22 09:50:56
MaintainerAlexander Dürre <alexander.duerre@tu-dortmund.de>
LicenseGPL-2 | GPL-3
Version0.3.0
http://robts.r-forge.r-project.org

View on R-Forge

Man pages

acfrob: Robust Autocorrelation, Autocovariance or Partial...

acfrob.bireg: Robust Autocorrelation Estimation Based on Bivariate...

acfrob.filter: Robust Autocorrelation Estimation Based on Robust Filtering

acfrob.GK: Robust Autocorrelation Estimation Based on the Gnanadesikan...

acfrob.median: Robust Autocorrelation Estimation Based on Median Correlation

acfrob.multi: Robust Autocorrelation Estimation Based on Correlation...

acfrob.partrank: Robust Autocorrelation Estimation Based on Partial...

acfrob.RA: Robust Autocorrelation Estimation Based on Residual...

acfrob.rank: Robust Autocorrelation Estimation Based on Signs and Ranks

acfrob.trim: Robust Autocorrelation Estimation Based on Trimming

ARfilter: Robust Fitting of Autoregressive Models by Robust Filtering

arrob: Robust Fitting of Autoregressive Models

arrob.gm: Robust Fitting of Autoregressive Models Based on GM...

asymvar.acf: Calculation of the Long Run Variance Based on a Kernel...

asymvar.acfextra: Calculation of the Long Run Variance Based on an AR Fit

asymvar.window: Calculation of the Long Run Variance Based on Subsampling

changerob: Robust Change Point Detection

changerob.cusum: Cumulative Sum Statistic

changerob.HL: Hodges-Lehmann Cumulative Sum Statistic

changerob.wilcox: Wilcoxon Cumulative Sum Statistic

Corefw: Fully Efficient Robust Correlation Estimation

corGK: Robust Correlation Estimation Based on the Gnanadesikan...

densdiff: Density Estimation at Zero of the Random Variable X - Y

filterrob: Robust Filtering of Time Series Assuming an Autoregressive...

guitar: D-string of acoustic guitar

KS: The Kolmogorov Smirnov Distribution

make_acf_psd: Transforms Estimated Autocorrelation Functions into Positive...

M_estimation: Psi and Weight Functions for Robust M Estimation

methods.arrob: S3 Methods for Robustly Fitted Autoregressive Models

na.extremify: Handing Missing Values in Objects for Application of Robust...

plot.acfrob: Plot Robust Autocorrelation, Autocovariance or Partial...

plot.arrob: Diagnostic Plots for a Fitted Autoregressive Model

reweightedQn: Reweighted Variant of the Robust Scale Estimator Qn

robts-package: Robust Time Series Analysis

spectrumrob: Robust Spectrum

sunhours: Sun Hours Per Year in a Location in Chemnitz

Files in this package

robts/DESCRIPTION
robts/NAMESPACE
robts/R
robts/R/ARfilter.R robts/R/BurgM.R robts/R/Corefw.R robts/R/DurbinLev.R robts/R/KS.R robts/R/M_estimation.R robts/R/acfrob.GK.R robts/R/acfrob.R robts/R/acfrob.RA.R robts/R/acfrob.bireg.R robts/R/acfrob.filter.R robts/R/acfrob.median.R robts/R/acfrob.multi.R robts/R/acfrob.partrank.R robts/R/acfrob.rank.R robts/R/acfrob.trim.R robts/R/arrob.R robts/R/arrob.filter.R robts/R/arrob.gm.R robts/R/arrob.regression.R robts/R/arrob.yw.R robts/R/asymvar.acf.R robts/R/asymvar.acfextra.R robts/R/asymvar.window.R robts/R/changerob.HL.R robts/R/changerob.R robts/R/changerob.cusum.R robts/R/changerob.wilcox.R robts/R/corGK.R robts/R/densdiff.R robts/R/filterrob.R robts/R/filterrob.recursive.R robts/R/filterrob.statespace.R
robts/R/handle_missings_ts.r
robts/R/kernel.R robts/R/linearinterpol.R
robts/R/make_acf_psd.r
robts/R/meddiff.R robts/R/methods.ar.R robts/R/methods.arrob.R robts/R/na.extremify.R robts/R/napredict.R robts/R/naresid.R robts/R/offdiag.R robts/R/plot.acfrob.R robts/R/plot.arrob.R robts/R/plot.changerob.R robts/R/reweightedQn.R robts/R/spectrumrob.R robts/R/spectrumrob.acf.R robts/R/spectrumrob.pgram.R
robts/build
robts/build/partial.rdb
robts/data
robts/data/guitar.RData
robts/data/sunhours.RData
robts/inst
robts/inst/CITATION
robts/inst/extdata
robts/inst/extdata/acfbiascorr_RAbisquare
robts/inst/extdata/acfbiascorr_RAhuber
robts/inst/extdata/acfbiascorr_median
robts/inst/extdata/acfbiascorr_trim
robts/inst/extdata/deltacorrection
robts/man
robts/man/ARfilter.Rd robts/man/Corefw.Rd robts/man/KS.Rd robts/man/M_estimation.Rd robts/man/acfrob.GK.Rd robts/man/acfrob.RA.Rd robts/man/acfrob.Rd robts/man/acfrob.bireg.Rd robts/man/acfrob.filter.Rd robts/man/acfrob.median.Rd robts/man/acfrob.multi.Rd robts/man/acfrob.partrank.Rd robts/man/acfrob.rank.Rd robts/man/acfrob.trim.Rd robts/man/arrob.Rd robts/man/arrob.gm.Rd robts/man/asymvar.acf.Rd robts/man/asymvar.acfextra.Rd robts/man/asymvar.window.Rd robts/man/changerob.HL.Rd robts/man/changerob.Rd robts/man/changerob.cusum.Rd robts/man/changerob.wilcox.Rd robts/man/corGK.Rd robts/man/densdiff.Rd robts/man/filterrob.Rd robts/man/guitar.Rd robts/man/make_acf_psd.Rd robts/man/methods.arrob.Rd robts/man/na.extremify.Rd robts/man/plot.acfrob.Rd robts/man/plot.arrob.Rd robts/man/reweightedQn.Rd robts/man/robts-package.Rd robts/man/spectrumrob.Rd robts/man/sunhours.Rd
robts/src
robts/src/filter.c
robts/src/ks.c
robts/src/wilcox.c
robts/tests
robts/tests/acfrob_tests.R
robts/tests/arrob_tests.R
robts/tests/changerob_tests.R
robts/tests/spectrumrob_tests.R

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