[R] Outlier Detection for timeseries
ggrothendieck at gmail.com
Sat Feb 14 16:27:23 CET 2009
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
>> 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.
> R-help at r-project.org mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
More information about the R-help