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

Functions

acfrob Man page
acfrob.bireg Man page
acfrob.filter Man page
acfrob.GK Man page
acfrob.median Man page
acfrob.multi Man page
acfrob.partrank Man page
acfrob.RA Man page
acfrob.rank Man page
acfrob.trim Man page
ARfilter Man page
arrob Man page
arrob.filter Man page
arrob.gm Man page
arrob.regression Man page
arrob.yw Man page
asymvar.acf Man page
asymvar.acfextra Man page
asymvar.window Man page
changerob Man page
changerob.cusum Man page
changerob.HL Man page
changerob.wilcox Man page
Corefw Man page
corGK Man page
densdiff Man page
filtered Man page
filtered.arrob Man page
filterrob Man page
filterrob.recursive Man page
filterrob.statespace Man page
fitted.arrob Man page
guitar Man page
make_acf_psd Man page
M_psi Man page
M_wgt Man page
na.extremify Man page
na.extremify.ts Man page
pKS Man page
plot.acfrob Man page
plot.arrob Man page
plot.changerob Man page
predict.arrob Man page
qKS Man page
residuals.arrob Man page
reweightedQn Man page
robts-package Man page
smoothpsi Man page
spectrumrob Man page
spectrumrob.acf Man page
spectrumrob.pgram Man page
sunhours Man page

Files

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

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