Danger: More careful thought required. "Outlier....s" (Title of a TECHNOMETRICS paper of a couple of decades ago) are an artificial construct: there is NO SUCH THING in the abstract. They exist only wrt to a model. So there is no such thing as software that "tells whether the changes are considered ...". Rather, you must consider alternative "suitable" models, examine their fits, scientific implications, interpretation, etc. Frequently, several models will fit essentially equally well, but different subsets of the data will appear "unusual" (I no longer use the word "outlier" because of the intimation that there is an objective statistical meaning to this term, which there is not) for each.
Statistical algorithms cannot replace careful thinking. Sorry about that. -- Bert Gunter Genentech -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Pele Sent: Saturday, February 14, 2009 5:16 AM To: r-help@r-project.org Subject: Re: [R] Outlier Detection for timeseries 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.h tml Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
