robts: Robust Time Series Analysis

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Collection of functions for robust time series analysis. This includes various approaches for robust estimation of (partial) autocorrelation, robust filtering and robust fitting of AR(p) processes as well as robust change point detection.

Author
Alexander 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 publication
2016-12-07 20:28:59
Maintainer
Alexander Dürre <alexander.duerre@tu-dortmund.de>
License
GPL-2 | GPL-3
Version
0.2.2
URLs

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
Corefw
Fully Efficient Robust Correlation Estimation
corGK
Robust Correlation Estimation Based on the Gnanadesikan...
densdiff
Density Estimation at 0 of the Random Variable X-Y
filterrob
Robust Filtering of Time Series Assuming an Autoregressive...
guitar
D-string of acoustic guitar
make_acf_psd
Transforms Estimated Autocorrelation Functions into Positive...
M_estimation
Psi and Weight Functions for Robust M Estimation
pKS
Distribution Function of the Kolmogorov Smirnov Distribution
plot.acfrob
Plot Robust Autocorrelation, Autocovariance or Partial...
plot.ar
Diagnostic Plots for a Fitted Autoregressive Model
qKS
Quantile Function of the Kolmogorov Smirnov Distribution
reweightedQn
Reweighted Variant of the Robust Scale Estimator Qn
rob.change
Robust Change Point Detection
robts-package
Robust Time Series Analysis
spectrumrob
Robust Spectrum
strucchange.cusum
Cumulative Sum Statistic
strucchange.HL
Hodges-Lehmann Cumulative Sum
strucchange.wilcox
Wilcoxon Cumulative Sum
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/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/corGK.R
robts/R/densdiff.R
robts/R/filterinit.R
robts/R/filterrob.R
robts/R/filterrob.given.R
robts/R/kernel.R
robts/R/linearinterpol.R
robts/R/make_acf_psd.r
robts/R/offdiag.R
robts/R/plot.acfrob.R
robts/R/plot.ar.R
robts/R/plot.struc.R
robts/R/reweightedQn.R
robts/R/rob.change.R
robts/R/spectrumrob.R
robts/R/spectrumrob.acf.R
robts/R/spectrumrob.pgram.R
robts/R/strucchange.HL.R
robts/R/strucchange.cusum.R
robts/R/strucchange.wilcox.R
robts/R/strucchangehelpfun.R
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/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/corGK.Rd
robts/man/densdiff.Rd
robts/man/filterrob.Rd
robts/man/guitar.Rd
robts/man/make_acf_psd.Rd
robts/man/pKS.Rd
robts/man/plot.acfrob.Rd
robts/man/plot.ar.Rd
robts/man/qKS.Rd
robts/man/reweightedQn.Rd
robts/man/rob.change.Rd
robts/man/robts-package.Rd
robts/man/spectrumrob.Rd
robts/man/strucchange.HL.Rd
robts/man/strucchange.cusum.Rd
robts/man/strucchange.wilcox.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