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Outlier Detection for Extended Airline Models

Source: R/jd3_extendedairline.R
find_outliers.Rd

This internal function performs automatic outlier detection in high-frequency time series using Extended Airline models.

Usage

find_outliers(
  input,
  types = c("AO"),
  start = 0,
  end = 0,
  critical_value = 0,
  max_outliers = 30,
  max_round = 30,
  precision = 1e-05,
  deps = 1e-04
)

Arguments

input

time series

types

Character vector specifying the types of outliers to detect. Default: c("AO") (additive outliers only). Common options include:

  • "AO" - Additive Outlier

  • "LS" - Level Shift

  • "WO" - Switch Outlier

start

Integer specifying the starting position (1-based R indexing) for outlier detection. Default: 0 (detection from the beginning of the series).

end

Integer specifying the ending position (1-based R indexing) for outlier detection. Default: 0 (detection until the end of the series).

critical_value

Numeric value for the critical value threshold. Uses the maximum value among the specified value and a global max-t threshold based on extreme-value theory, roughly of order sqrt(2 * log(n))). Default: 0 (global max-t threshold is used).

max_outliers

Integer specifying the maximum number of outliers to detect. Default: 30.

max_round

Integer specifying the maximum number of detection iterations. Default: 30.

precision

Numeric value specifying the tolerance for convergence of optimization algorithms. Default: 1e-5.

deps

Numeric scalar. Step in the computation of the numerical derivatives, used in the optimisation routine. Default:1e-4.

Value

A numeric matrix with dimensions [number of outliers detected × 2].

References

Outlier critical value using the Ljung algorithm as given in Ljung, G. M. (1993). On outlier detection in time series. Journal of Royal Statistical Society B 55, 559-567. Solution proposed by Brian Monsell (LBS), January 2022

Examples


series <- rjd3toolkit::Exports$Malta
find_outliers(series, critical_value = 3.5, types = c("LS", "WO"))
#> Error in .jcheck(): java.lang.UnsupportedClassVersionError: jdplus/sa/base/api/DecompositionMode has been compiled by a more recent version of the Java Runtime (class file version 65.0), this version of the Java Runtime only recognizes class file versions up to 61.0