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.

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 | 2016-12-22 09:50:56 |

Maintainer | Alexander Dürre <alexander.duerre@tu-dortmund.de> |

License | GPL-2 | GPL-3 |

Version | 0.3.0 |

http://robts.r-forge.r-project.org |

**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

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

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.