robfilter: Robust Time Series Filters

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>.

Version: 4.1.5
Depends: R (≥ 3.6.0), robustbase, MASS, lattice
Imports: stats, graphics, utils
Published: 2024-07-16
DOI: 10.32614/CRAN.package.robfilter
Author: Roland Fried [aut, cre], Karen Schettlinger [aut], Matthias Borowski [aut], Robin Nunkesser [ctb], Thorsten Bernholt [ctb]
Maintainer: Roland Fried <fried at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
In views: Robust, TimeSeries
CRAN checks: robfilter results


Reference manual: robfilter.pdf


Package source: robfilter_4.1.5.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): robfilter_4.1.5.tgz, r-oldrel (arm64): robfilter_4.1.5.tgz, r-release (x86_64): robfilter_4.1.5.tgz, r-oldrel (x86_64): robfilter_4.1.5.tgz
Old sources: robfilter archive


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