Description Usage Arguments Details Value Author(s) References See Also Examples

This function extracts signals from time series by means of Least Trimmed Squares regression in a moving time window.

1 |

`y` |
a numeric vector or (univariate) time series object. |

`width` |
a positive integer defining the window width used for fitting. |

`h` |
a positive integer defining the trimming quantile. |

`online` |
a logical indicating whether the current level estimate is
evaluated at the most recent time within each time window
( |

`extrapolate` |
a logical indicating whether the level
estimations should be extrapolated to the edges of the time series. |

`lts.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, robust Least Trimmed Squares regression is applied to a moving
window, and the signal level is estimated by the fitted value
either at the end of each time window for online signal
extraction without time delay (`online=TRUE`

) or in the
centre of each time window (`online=FALSE`

).

`lts.filter`

returns an object of class `robreg.filter`

.
An object of class `robreg.filter`

is a list containing the
following components:

`level` |
a data frame containing the extracted signal level. |

`slope` |
a data frame containing the corresponding slope within each time window. |

In addition, the original input time series is returned as list
member `y`

, and the settings used for the analysis are
returned as the list members `width`

, `online`

and `extrapolate`

.

Application of the function `plot`

to an object of class
`robreg.filter`

returns a plot showing the original time series
with the filtered output.

Roland Fried, Karen Schettlinger and Matthias Borowski

Davies, P.L., Fried, R., Gather, U. (2004)
Robust Signal Extraction for On-Line Monitoring Data,
*Journal of Statistical Planning and Inference* **122**,
65-78.

Gather, U., Schettlinger, K., Fried, R. (2006)
Online Signal Extraction by Robust Linear Regression,
*Computational Statistics* **21**(1),
33-51.

Schettlinger, K., Fried, R., Gather, U. (2006)
Robust Filters for Intensive Care Monitoring: Beyond the Running Median,
*Biomedizinische Technik* **51**(2),
49-56.

1 2 3 4 5 6 7 8 9 10 11 12 |

```
Loading required package: robustbase
Loading required package: MASS
Loading required package: lattice
```

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