robfilter

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) doi:10.1515/BMT.2006.010. The adaptive online repeated median by Schettlinger et al. (2010) doi:10.1002/acs.1105 and the slope comparing adaptive repeated median by Borowski and Fried (2013) doi:10.1007/s11222-013-9391-7 choose the width of the moving time window adaptively. Multivariate versions are also provided; see Borowski et al. (2009) doi:10.1080/03610910802514972 for a multivariate online adaptive repeated median and Borowski (2012) doi:10.17877/DE290R-14393 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) doi:10.1080/10485250410001656444.

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