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 <drdi...@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
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