Robust Time Series Analysis

[Up] [Top]

Documentation for package ‘robts’ version 0.1.0

Help Pages

robts-package Robust Time Series Analysis
acfGK Robust Autocorrelation Estimation Based on GK Approach
acfmedian Robust Autocorrelation Estimation Based on Median Correlation
acfmulti Robust Autocorrelation Estimation Based on Correlation Matrices
acfpartrank Robust Autocorrelation Estimation Based on Partial Autocorrelations
acfposmaker Transforms acf Estimations into Positive Semidefinite ones
acfRA Robust Autocorrelation Estimation Based on Residual Autocorrelation
acfrank Robust Autocorrelation Estimation Based on Signs and Ranks
acfrob Robust (Partial) Autocorrelation Function Estimation
acfrobfil Robust Autocorrelation Estimation Based on Robust Filtering
acftrim Robust Autocorrelation Estimation Based on Trimming
ARfilter Estimation of AR Models by Robust Filtering
arrob Robust Estimation of Autoregressive Models
asymvar.acf Calculation of the Long Run Variance Based on a Kernel Estimator
asymvar.acfextra Calculation of the Long Run Variance Based on an AR Fit
asymvar.window Calculation of the Long Run Variance Based on Subsampling
bestAR Robust Estimation of Autoregressive Models by GM Estimator
Corefw Fully Efficient Robust Correlation Estimation
densdiff Density Estimation at 0 of the Random Variable X-Y
filterrob Robustly Filtered Time Series
pacf2 Robust Estimation of the pacf Using Signs and Ranks
pKS Distribution Function of the Kolmogorov Smirnov Distribution
qKS Quantile Function of the Kolmogorov Smirnov Distribution
rob.change Robust Change Point Detection
robspectrum Robust Spectrum
strucchange.cusum Cumulative Sum Statistic
strucchange.HL Hodges-Lehmann Cumulative Sum
strucchange.wilcox Wilcoxon Cumulative Sum