[R] Outlier Detection for timeseries

[Gabor Grothendieck]

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
>>
>>
>
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