MATLAB消除曲线毛刺Outlier Detection and Removal [hampel]

MATLAB消除曲线毛刺Outlier Detection and Removal [hampel]

function [YY, I, Y0, LB, UB, ADX, NO] = hampel(X, Y, DX, T, varargin)

% HAMPEL Hampel Filter.

% HAMPEL(X,Y,DX,T,varargin) returns the Hampel filtered values of the

% elements in Y. It was developed to detect outliers in a time series,

% but it can also be used as an alternative to the standard median

% filter.

%

% References

% Chapters 1.4.2, 3.2.2 and 4.3.4 in Mining Imperfect Data: Dealing with

% Contamination and Incomplete Records by Ronald K. Pearson.

%

% Acknowledgements

% I would like to thank Ronald K. Pearson for the introduction to moving

% window filters. Please visit his blog at:

% http://exploringdatablog.blogspot.com/2012/01/moving-window-filters-and

% -pracma.html

%

% X,Y are row or column vectors with an equal number of elements.

% The elements in Y should be Gaussian distributed.

%

% Input DX,T,varargin must not contain NaN values!

%

% DX,T are optional scalar values.

% DX is a scalar which defines the half width of the filter window.

% It is required that DX > 0 and DX should be dimensionally equivalent to

% the values in X.

% T is a scalar which defines the threshold value used in the equation

% |Y - Y0| > T*S0.

%

% Standard Parameters for DX and T:

% DX = 3*median(X(2:end)-X(1:end-1));

% T = 3;

%

% varargin covers addtional optional input. The optional input must be in

% the form of 'PropertyName', PropertyValue.

% Supported PropertyNames:

% 'standard': Use the standard Hampel filter.

% 'adaptive': Use an experimental adaptive Hampel filter. Explained under

% Revision 1 details below.

%

% Supported PropertyValues: Scalar value which defines the tolerance of

% the adaptive filter. In the case of standard Hampel filter this value

% is ignored.

%

% Output YY,I,Y0,LB,UB,ADX are column vectors containing Hampel filtered

% values of Y, a logical index of the replaced values, nominal data,

% lower and upper bounds on the Hampel filter and the relative half size

% of the local window, respectively.

%

% NO is a scalar that specifies the Number of Outliers detected.

%

% Examples

% 1. Hampel filter removal of outliers

% X = 1:1000; % Pseudo Time

% Y = 5000 + randn(1000, 1); % Pseudo Data

% Outliers = randi(1000, 10, 1); % Index of Outliers

% Y(Outliers) = Y(Outliers) + randi(1000, 10, 1); % Pseudo Outliers

% [YY,I,Y0,LB,UB] = hampel(X,Y);

%

% plot(X, Y, 'b.'); hold on; % Original Data

% plot(X, YY, 'r'); % Hampel Filtered Data

% plot(X, Y0, '