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.

Package details

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')
MaintainerAlexander Dürre <[email protected]>
LicenseGPL-2 | GPL-3
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("robts", repos="")

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robts documentation built on May 31, 2017, 2:38 a.m.