[R] Outlier Detection for timeseries

[markleeds at verizon.net]

  Doug Martin et al ( he may not be the first author ) has a book called 
Robust Regression
and I vaguely recall seeing a chapter in there related to outlier 
detection. in time series.

Given that there's an S+ package associated with the book, maybe that 
package has been or can be translated to R and can then be used for what 
the person is asking. All this is guesswork but maybe worth looking 
into. The book may also include the various scripts at a website but I 
don''t have the book in front of me to check that.





On Sat, Feb 14, 2009 at 10:27 AM, Gabor Grothendieck wrote:

> Check out the Tramo Seats and Gretl packages.  These are not
> R packages but are free.  The first one has outlier detection
> and the second has interfaces to both Tramo Seats and R which may
> or may not allow you to access Tramo Seats indirectly from R.
>
> On Sat, Feb 14, 2009 at 8:15 AM, Pele <drdionc at yahoo.com> wrote:
>>
>> Hi Stephen,
>>
>> I am doing cross correlation analysis and I am trying to find a 
>> outlier
>> detection function in R that can detect changes in the level of the 
>> response
>> series that are not accounted for by the estimated model. Something 
>> that
>> tells whether the changes are considered Additive Outliers, Level 
>> Shifts, or
>> Temporary Changes... The output in the original not is what SAS 
>> produces and
>> I was looking for something similar..  R is very new to me (4 weeks) 
>> hence
>> still feeling my way around...
>>
>> Many thanks!
>>
>>
>>
>> Pele wrote:
>>>
>>> Hello R users,
>>>
>>> Can someone tell if there is a package in R that can do outlier 
>>> detection
>>> that give outputs simiilar to what I got from SAS  below.
>>>
>>> Many thanks in advance for any help!
>>>
>>>                               Outlier Details
>>>
>>> Approx
>>>
>>> Chi-     Prob>
>>>            Obs    Time ID         Type                  Estimate
>>> Square     ChiSq
>>>
>>>             12       12.000000    Additive             2792544.6
>>> 186.13    <.0001
>>>             13       13.000000    Additive              954302.1
>>> 21.23    <.0001
>>>             15       15.000000    Shift                    63539.3
>>> 9.06    0.0026
>>>
>>>
>>
>> --
>> View this message in context: 
>> http://www.nabble.com/Outlier-Detection-for-timeseries-tp22008448p22012539.html
>> Sent from the R help mailing list archive at Nabble.com.
>>
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>
> ______________________________________________
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> PLEASE do read the posting guide 
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> and provide commented, minimal, self-contained, reproducible code.