Package: acfMPeriod 1.0.0
acfMPeriod: Robust Estimation of the ACF from the M-Periodogram
Non-robust and robust computations of the sample autocovariance (ACOVF) and sample autocorrelation functions (ACF) of univariate and multivariate processes. The methodology consists in reversing the diagonalization procedure involving the periodogram or the cross-periodogram and the Fourier transform vectors, and, thus, obtaining the ACOVF or the ACF as discussed in Fuller (1995) <doi:10.1002/9780470316917>. The robust version is obtained by fitting robust M-regressors to obtain the M-periodogram or M-cross-periodogram as discussed in Reisen et al. (2017) <doi:10.1016/j.jspi.2017.02.008>.
Authors:
acfMPeriod_1.0.0.tar.gz
acfMPeriod_1.0.0.zip(r-4.5)acfMPeriod_1.0.0.zip(r-4.4)acfMPeriod_1.0.0.zip(r-4.3)
acfMPeriod_1.0.0.tgz(r-4.4-any)acfMPeriod_1.0.0.tgz(r-4.3-any)
acfMPeriod_1.0.0.tar.gz(r-4.5-noble)acfMPeriod_1.0.0.tar.gz(r-4.4-noble)
acfMPeriod_1.0.0.tgz(r-4.4-emscripten)acfMPeriod_1.0.0.tgz(r-4.3-emscripten)
acfMPeriod.pdf |acfMPeriod.html✨
acfMPeriod/json (API)
| # Install 'acfMPeriod' in R: |
| install.packages('acfMPeriod', repos = c('https://rogih.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/rogih/acfmperiod/issues
Last updated 5 years agofrom:72e44abae8. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 05 2024 |
| R-4.5-win | OK | Nov 05 2024 |
| R-4.5-linux | OK | Nov 05 2024 |
| R-4.4-win | OK | Nov 05 2024 |
| R-4.4-mac | OK | Nov 05 2024 |
| R-4.3-win | OK | Nov 05 2024 |
| R-4.3-mac | OK | Nov 05 2024 |
Exports:CovCorMPerCovCorPerCrossPeriodogramMCrossPeriodogramMPerACFMPerioRegPerACFPerioReg
Dependencies:MASS
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Robust covariance or correlation matrix from the MPer-ACF | CovCorMPer |
| Covariance or correlation matrix from the Per-ACF | CovCorPer |
| Cross-periodogram | CrossPeriodogram |
| Robust M-cross-periodogram | MCrossPeriodogram |
| Robust autocorrelation or autocovariance function estimation from the robust M-periodogram | MPerACF |
| Robust M-periodogram | MPerioReg |
| Autocorrelation or autocovariance function estimation from the periodogram | PerACF |
| Periodogram | PerioReg |
| Plot Robust Autocovariance and Robust Autocorrelation Functions | plot.robacf |
