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robfilter  

Robust Time Series Filters
View on CRAN: Click here


Download and install robfilter package within the R console
Install from CRAN:
install.packages("robfilter")

Install from Github:
library("remotes")
install_github("cran/robfilter")

Install by package version:
library("remotes")
install_version("robfilter", "4.1.5")



Attach the package and use:
library("robfilter")
Maintained by
Roland Fried
[Scholar Profile | Author Map]
First Published: 2008-01-29
Latest Update: 2023-12-06
Description:
Implementations for several robust procedures that allow for (online) extraction of the signal of univariate or multivariate time series by applying robust regression techniques to a moving time window are provided. Included are univariate filtering procedures based on repeated-median regression as well as hybrid and trimmed filters derived from it; see Schettlinger et al. (2006) . The adaptive online repeated median by Schettlinger et al. (2010) and the slope comparing adaptive repeated median by Borowski and Fried (2013) choose the width of the moving time window adaptively. Multivariate versions are also provided; see Borowski et al. (2009) for a multivariate online adaptive repeated median and Borowski (2012) for a multivariate slope comparing adaptive repeated median. Furthermore, a repeated-median based filter with automatic outlier replacement and shift detection is provided; see Fried (2004) .
How to cite:
Roland Fried (2008). robfilter: Robust Time Series Filters. R package version 4.1.5, https://cran.r-project.org/web/packages/robfilter. Accessed 26 Mar. 2025.
Previous versions and publish date:
1.0 (2008-01-29 20:29), 2.0 (2008-08-06 17:30), 2.1 (2008-08-20 14:14), 2.2 (2008-09-28 20:25), 2.3 (2008-10-13 12:10), 2.4 (2008-12-13 11:30), 2.5 (2009-06-18 14:23), 2.6.1 (2010-04-22 19:10), 2.6 (2010-01-28 17:22), 3.0 (2011-07-28 19:54), 3.1 (2012-08-08 09:50), 3.2 (2012-08-21 09:53), 4.0 (2012-09-13 18:22), 4.1.1 (2018-05-17 10:36), 4.1.2 (2019-11-21 15:00), 4.1.3 (2022-11-06 22:20), 4.1.4 (2023-12-06 04:30), 4.1 (2014-12-05 12:55)
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Complete documentation for robfilter
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