1
$\begingroup$

Does it use a particular z-score? I know that it does apply STL.

My data is seasonal, and had quite a few outliers, so I am just wondering how exactly it determined whether a particular data point is an outlier.

$\endgroup$

1 Answer 1

5
$\begingroup$

From the source code for tsoutlier which is called by tsclean:

  1. They fit a smoother for seasonality and get out the residuals.
  2. They get the 25th and 75th quantiles of the residuals.
  3. They calculate the IQR as the difference between these quantiles.
  4. They calculate the limits for what is/is not a outlier.
    • Lower limit is the 25th quantile of residuals - 3 * the IQR.
    • Upper limit is the 75th quantile of residuals + 3 * the IQR.
  5. Any observation with a residual outside these ranges is an outlier.
 # Use super-smoother on the (seasonally adjusted) data
  tt <- 1:n
  mod <- supsmu(tt, xx)
  resid <- xx - mod$y

  # Make sure missing values are not interpeted as outliers
  if (nmiss > 0L) {
    resid[missng] <- NA
  }

# Limits of acceptable residuals
  resid.q <- quantile(resid, probs = c(0.25, 0.75), na.rm = TRUE)
  iqr <- diff(resid.q)
  limits <- resid.q + 3 * iqr * c(-1, 1)

# Find residuals outside limits
  if ((limits[2] - limits[1]) > 1e-14) {
    outliers <- which((resid < limits[1]) | (resid > limits[2]))
  } else {
    outliers <- numeric(0)
  }

Their code is super clearly written.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.