robfilter

swMATH10976CRANrobfilterMaRDI QIDQ22928

Robust Time Series Filters

Karen Schettlinger, Roland Fried, Matthias Borowski

Last update: 6 December 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 4.1.3, 1.0, 2.0, 2.1, 2.2, 2.3, 2.4, 2.5, 2.6.1, 2.6, 3.0, 3.1, 3.2, 4.0, 4.1.1, 4.1.2, 4.1, 4.1.4

Source code repository: https://github.com/cran/robfilter

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) <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>.

Cites work

• Robust filters for intensive care monitoring: beyond the running median / Robuste Filter für intensivmedizinisches Monitoring: mehr als ein gleitender Median
• Real-time signal processing by adaptive repeated median filters
• Online signal extraction by robust regression in moving windows with data-adaptive width selection
• Multivariate Real-Time Signal Extraction by a Robust Adaptive Regression Filter
• Robust filtering of time series with trends
• Unnamed Publication

Cited In (6)

• Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure
• Online signal extraction by robust regression in moving windows with data-adaptive width selection: SCARM -- Slope Comparing Adaptive Repeated Median
• Multivariate Real-Time Signal Extraction by a Robust Adaptive Regression Filter
• Reducing false alarms of intensive care online-monitoring systems: an evaluation of two signal extraction algorithms
• On- and offline detection of structural breaks in thermal spraying processes
• Robust Kalman tracking and smoothing with propagating and non-propagating outliers

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