Roll Hampel

Apply a moving-window Hampel function to a numeric vector.

roll_hampel(
  x,
  width = 1L,
  by = 1L,
  align = c("center", "left", "right"),
  na.rm = FALSE
)

Arguments

x	Numeric vector.
width	Integer width of the rolling window.
by	Integer shift to use when sliding the window to the next location
align	Character position of the return value within the window. One of: "left" | "center" | "right".
na.rm	Logical specifying whether NA values should be removed before the calculations within each window.

Value

Numeric vector of the same length as x.

Details

The Hampel filter is a robust outlier detector using Median Absolute Deviation (MAD).

For every index in the incoming vector x, a value is returned that is the Hampel funcion of all values in x that fall within a window of width width.

The align parameter determines the alignment of the return value within the window. Thus:

• align = -1 [*------] will cause the returned vector to have width-1 NA values at the right end.

• align = 0 [---*---] will cause the returned vector to have width/2 NA values at either end.

• align = 1 [------*] will cause the returned vector to have width-1 NA values at the left end.

For large vectors, theby parameter can be used to force the window to jump ahead by indices for the next calculation. Indices that are skipped over will be assigned NA values so that the return vector still has the same length as the incoming vector. This can dramatically speed up calculations for high resolution time series data.

Examples

library(MazamaRollUtils)

x <- c(0, 0, 0, 1, 1, 2, 2, 4, 6, 9, 0, 0, 0)
roll_hampel(x, 3)
#>  [1]        NA       NaN       NaN       NaN       NaN       NaN       NaN
#>  [8] 0.0000000 0.0000000 0.6744908       NaN       NaN        NA