[R] Outlier Detection for timeseries
drdionc at yahoo.com
Sat Feb 14 23:35:01 CET 2009
Hi Hans - I tried your suggestion and it worked out well... Many thanks!!
Also, thank to everyone else for their suggestions.
Hans W. Borchers-4 wrote:
> Pele <drdionc <at> yahoo.com> writes:
>> 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!
> I guess you are talking about the OUTLIER procedure in SAS that attempts
> to detect 'additive outliers' and 'level shifts' in a 'response' series,
> the second following Jong & Penzer's "Diagnosing shocks in time series".
> I have not come across this method in R, but you might have a look into
> 'robfilter' (Robust Time Series Filters) package with functions like
> 'dw.filter', 'adore.filter', or 'wrm.filter', see for instance
> "dw.filter is suitable for extracting low frequency components (the
> signal) from a time series which may be contaminated with outliers
> and can contain level shifts. For this, moving window techniques are
> If your time series is actually a response, you might prefer to look at
> the series of residuals instead.
>> Outlier Details
>> Obs Time ID Type Estimate Square
>> 12 12.000000 Additive 2792544.6 186.13
>> 13 13.000000 Additive 954302.1 21.23
>> 15 15.000000 Shift 63539.3
>> 9.06 0.0026
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