[R] Temporal Analysis of variable x; How to select the outlier threshold in R?

[Achim Zeileis]

Please stop posting (almost) identical questions!

You already posted a very similar question to R-help (and received
two answers) and you posted the same question on R-SIG-Finance!

As both Uwe and Christian indicated in their answers, your question is
very vague. If you want to receive better answers, it would help to ask
better questions. Please also read the posting guide at
  http://www.R-project.org/posting-guide.html

On Fri, 25 Feb 2005 13:29:38 -0500 Melanie Vida wrote:

> For a financial data set with large variance, I'm trying to find the 
> outlier threshold of one variable "x" over a two year period. I 

To reiterate Uwe: "This depends on your definition of an outlier and the
model for your data".

> qqplot(x2001, x2002) and found a normal distribution. The latter part

I'm not sure how you could do that from that plot...

> of the normal distribution did not look linear though. Is there a
> suitable method in R to find the outlier threshold of this variable
> from 2001 and 2002  in R?

If you think it appropriate you could fit a normal model and cut at a
quantile of your choice.
Z