[R] time series outbreak detection

Johannes Schnitzler schnitzlerj at gmx.de
Sun Feb 23 23:46:02 CET 2003

Dear all,

i have multivariate timeseries (weekly data).

1)"Moving standard deviation"
With the "filter function" together with "lag" from package ts
it is possible to calculate a moving average for the time series for each
week at once (6 weeks back from the actual week and 12 weeks from the last two
But i also need the associated standard deviations. Is there a function for

2)"Robust Regression"
The time series derives from reported cases due to different pathogens.
Some of them with saisonal pattern. There are huge differences in counts
(depending on the pathogen) from zero up to several hundred counts per week. I
have only data since 2001. I want to realize outbreak detection algorithms (so
far, depending on the pathogen with Standard Deviation / Poisson and CUSUM).
Beforehand i have to "clean" the data from past outbreaks.
Has anybody experience with a rather robust regression model which cuts
former "outliers"?

Thank you very much for advice.

Johannes Schnitzler
Germany Berlin
schnitzlerj at gmx.de

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