robfilter (version 4.1.5)
Robust Time Series Filters
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) .