ts_fil_winsor {tspredit}

Winsorization of Time Series

Description

This code implements the Winsorization technique on a time series. Winsorization is a statistical method used to handle extreme values in a time series by replacing them with values closer to the center of the distribution.

Usage

ts_fil_winsor(li = 0.05)

Arguments

li

Defines the Winsorization limit (proportion of values to be trimmed)

Value

a ts_fil_winsor obj.

Examples

# time series with noise
library(daltoolbox)
data(sin_data)
sin_data$y[9] <- 2*sin_data$y[9]

# filter
filter <- ts_fil_winsor()
filter <- fit(filter, sin_data$y)
y <- transform(filter, sin_data$y)

# plot
plot_ts_pred(y=sin_data$y, yadj=y)