Changes in version 0.6 2015-01-27
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o The functionalities of package "stsm" has been restored now
that the package "stsm" has been updated on CRAN.
Changes in version 0.5 2015-01-25
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o This is submitted to CRAN as a transitory version where some
functions related to package "stsm" are disabled.
Package "stsm.class" has been merged into package "stsm".
If the new version of "stsm" is submitted these warnings are obtained:
"Warning: replacing previous import by 'stsm.class::char2numeric'
when loading 'tsoutliers'".
If "tsoutliers" is submitted first, it requires disabling "stsm"
functionalities since the current version of "stsm" on CRAN is not updated
with the class and methods defined in package "stsm.class".
o Adapted function "tso" to the new output format from functions
"maxlik.Xd.XXX", where now information related to "xreg" is not
stored as a separate list element.
o Removed option in remove.method = "linear-regression" since now
exogenous regressors are better handled by package "stms"
(despite possible difficulties computing standard errors).
o Added warning informing that currently "maxit" > 1 is not allowed in
function "tso" for tsmethod="stsm".
Before an uninformative error was returned.
o Fixed function 'locate.outliers' for the case where the length of
argument 'types' is one.
Thanks to Boriss Siliverstovs for reporting this issue.
o The examples, DESCRIPTION and NAMESPACE files have been updated now that
the class and methods defined in package "stsm.class" have been
merged in package "stsm".
o Non-standardised residuals are used in 'locate.outliers.oloop'. Despite
the standardised residuals can be used to obtain t-statistics and decide
on the significance of outliers, coefficient estimates of these regressors
do not reflect the scale of the data and hence the series was not adjusted
correctly for the presence of outliers in the iterations run in
'locate.outliers.oloop'.
o The default arguments to fit a structural time series model has been changed
from 'stsm::maxlik.fd.scoring' to 'stsm::maxlik.td.optim' in order to take
advantage of some recent enhancements in package "stsm" when regressors are
included in the model.
o Some issues have been modified in order to deal with the presence of missing observations.
- 'locate.outliers': NA values (if any) are now ignored when obtaining 'id0resid'.
- 'outliers.tstatistics.ArimaPars' and 'outliers.tstatistics.stsmSS':
na.rm=TRUE is used in when 'quantile' is called;
NAs generated by 'filter' when obtaining 'ao.xy' are now explicitly removed
instead of removing all possible NAs present in the original series.
o The package has benefited from some updates in package "stsm" that deal with
external regressors. Now more reliable results are obtained when a "stsm" model
is used. See for example application to Nile time series in section 6.1 of the
document tsoutliers.pdf attached to the package.
o Results from some simulation exercises are reported in Section 5 of the
document tsoutliers.pdf attached to the package.
o Fixed file 'index.html' in the 'doc' directory and validated
at as HTML 4.01 Transitional.
Changes in version 0.4 2014-06-26
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o The function 'tsoutliers' has been renamed as
'tso' to avoid conflict with the function of the same name
in package 'forecast'. To keep resemblance in the names,
the function 'tsoutliers0' has been renamed as 'tso0'.
o The function 'jarque.bera.test' has been renamed as
'JarqueBera.test' to avoid conflict with the function of
the same name in package 'tseries'.
o function 'plot.tsoutliers': fixed "plot(cbind(x$y, x$yadj), ..."
a typo ("x$adj" instead of "x$yadj") made the range of the y-axis
not cover the range of the original and adjusted series in some cases.
Changes in version 0.3 2014-05-17
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o First version available on CRAN.
o Some level of abstraction is given to some functions using
S3 methods. The interfaces "outliers.tstatistics" and
"outliers.regressors" can now be used regardless of whether
the baseline model is an ARIMA or a structural time series model.
This has simplified some parts of the code and the prototype of
some functions where the argument "tsmethod" is no longer needed.
o The functions 'IOtstat.arima', 'AOtstat.arima', 'LStstat.arima',
'TCtstat.arima' and 'SLStstat.arima' are not exported in the NAMESPACE.
A new function 'outliers.tstatistics' has been designed as a common
interface to those functions.
o Debugging versions for the computation of the t-statistics has been removed.
The versions of 'IOtstat.arima', 'AOtstat.arima', 'LStstat.arima',
'TCtstat.arima' and 'SLStstat.arima' that seem to be faster have been chosen.
Recomputation of 'ARMAtoMA()' for each type of outlier is avoided.
o New function 'outliers' has been added. This function is useful to
easily create the input 'data.frame' (containing characters and integers)
of functions 'outliers.effects' and 'outliers.regressors.arima'. Thus,
these functions can be used as a common interface for functions
'XXeffect' and 'XXxreg', which are not necessary to be exported.
o The functions 'IOeffect', 'AOeffect', 'LSeffect', 'TCeffect and 'SLSeffect'
are not exported in the NAMESPACE. The function 'outliers.effects' is used
as a common interface to those functions.
o 'outliers.regressors.arima' has been simplified and speeded-up by choosing
the versions of 'AOxreg', 'LSxreg', 'TCxreg' and 'SLSxreg' that seem to be
faster. Recomputation of 'ARMAtoMA()' for each type of outlier is avoided.
Argument 'arimafit' is no longer needed.
o The functions 'IOxreg', 'AOxreg', 'LSxreg', 'TCxreg' and 'SLSxreg'
are not exported in the NAMESPACE. The function 'outliers.regressors.arima'
is used as a common interface to those functions.
Version 0.2
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o The function 'outliers.regressors.arima' is a debugging version that uses
different versions to do the computations.