A0184
Title: robts - an R-package for robust time series and changepoint analysis
Authors: Roland Fried - TU Dortmund University (Germany) [presenting]
Abstract: The progress on our R-package robts is reported, which is available from R-Forge. Our package works under the assumption of short range dependence and provides different techniques for robust estimation of autocorrelations, partial autocorrelations and spectral densities, for robust fitting of autoregressive time series models, for model diagnostics and prediction. Since many time series models assume second order stationarity, we include robust tests for checking the stationarity of the mean, the variance and the autocovariances. Extensions to multivariate time series analysis are a task for future work.
