Description Usage Arguments Details Value Author(s) References See Also Examples
View source: R/madore.filter.R
Procedure for robust signal extraction from a multivariate time series by a moving window technique with adaptive window width selection (multivariate adaptive online repeated median filter). The window width adaption is based on the univariate adore.filter
.
1 2 3 4 5 6  madore.filter(Y, byrow=FALSE,
min.width=10, max.width=200,
test.sample.size=min.width/2,
width.search="geometric",
rtr.size=min.width, sign.level=0.1,
NA.sample.size=min.width, minNonNAs=min.width/2)

Y 
a numeric matrix or (multivariate) time series object. 
byrow 
logical. If 
min.width 
a positive integer ≥ 10 specifying the minimal width of the moving time window. 
max.width 
a positive integer ≥ 
test.sample.size 
a positive integer in [5, 
width.search 
a character string defining the search algorithm used for finding an adequate window width at each point in time.

rtr.size 
a nonnegative integer specifying the size of a subset of the most recent observations within each window. The signal estimation is restricted to the range of the observations within this subset. 
sign.level 
the level of significance for the goodness of fit test (see 
NA.sample.size 
a positive integer in [10, 
minNonNAs 
a positive integer in [5, 
The madore.filter
is based on Repeated Median regression (Siegel, 1982) in moving time windows and serves for separating signals from noise and outliers in multivariate time series. At each time point t the test procedure of the adaptive online Repeated Median filter (Schettlinger, Fried, Gather, 2010) is used to determine an appropriate window width n(t) in [min.width
, max.width
]. Then the signal vector at time t is estimated within the time window (tn(t)+1,…,t) by a slight modification of the multivariate Trimmed Repeated MedianLeast Squares regression (Lanius, Gather, 2010). A more detailed description of the madore.filter
can be found in Borowski, Schettlinger, Gather (2009).
madore.filter
returns an object of class madore.filter
. An object of class madore.filter
is a list containing the following components:
signals 
a matrix containing the estimated signal vectors at each time point t. 
widths 
a matrix containing the individual window widths of each variable at each time point t. 
overall.width 
a vector containing the overall window widths at each time point t. 
In addition, the original input data is returned as list member Y
, and the settings used for the analysis are returned as the list members byrow
, min.width
, max.width
, start.width
, test.sample.size
, width.search
, rtr.size
, extr.delay
, NA.sample.size
, and minNonNAs
. Application of the function plot
to an object of class madore.filter
returns a plot showing the original multivariate time series with the filtered output.
Matthias Borowski
Borowski, M., Schettlinger, K., Gather, U. (2009)
Multivariate Real Time Signal Extraction by a Robust Adaptive Regression Filter, Communications in Statistics  Simulation and Computation 38, 426440.
Lanius, V., Gather, U. (2010)
Robust Online Signal Extraction from Multivariate Time Series,
Computational Statistics and Data Analysis 54(4), 966975.
Schettlinger, K., Fried, R., Gather, U. (2010)
Real Time Signal Processing by Adaptive Repeated Median Filters,
International Journal of Adaptive Control and Signal Processing 24(5), 346362.
Siegel, A.F. (1982)
Robust Regression Using Repeated Medians,
Biometrika 69(1), 242244.
robreg.filter
, adore.filter
, scarm.filter
, mscarm.filter
.
1 2 3 4 5 6  ## Not run:
data(multi.ts)
extr < madore.filter(multi.ts)
plot(extr)
## End(Not run)

Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.