Package: tsqn 1.0.0

tsqn: Applications of the Qn Estimator to Time Series (Univariate and Multivariate)

Time Series Qn is a package with applications of the Qn estimator of Rousseeuw and Croux (1993) <doi:10.1080/01621459.1993.10476408> to univariate and multivariate Time Series in time and frequency domains. More specifically, the robust estimation of autocorrelation or autocovariance matrix functions from Ma and Genton (2000, 2001) <doi:10.1111/1467-9892.00203>, <doi:10.1006/jmva.2000.1942> and Cotta (2017) <doi:10.13140/RG.2.2.14092.10883> are provided. The robust pseudo-periodogram of Molinares et. al. (2009) <doi:10.1016/j.jspi.2008.12.014> is also given. This packages also provides the M-estimator of the long-memory parameter d based on the robustification of the GPH estimator proposed by Reisen et al. (2017) <doi:10.1016/j.jspi.2017.02.008>.

Authors:Higor Cotta, Valderio Reisen, Pascal Bondon and Céline Lévy-Leduc

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tsqn.pdf |tsqn.html✨
tsqn/json (API)

Peer review:

Bug tracker:https://github.com/rogih/tsqn/issues

On CRAN:

8 exports 0.69 score 4 dependencies 17 scripts 727 downloads

Last updated 5 years agofrom:4974aef3b6. Checks:OK: 7. Indexed: yes.

Exports:corMatQncorQncovMatQncovQnGPH_estimatePerioMrobPerQnrobacf

Dependencies:DEoptimRfracdiffMASSrobustbase