Robust Estimation of the ACF from the M-Periodogram
Robust covariance or correlation matrix from the MPer-ACF
Covariance or correlation matrix from the Per-ACF
Cross-periodogram
Robust M-cross-periodogram
Robust autocorrelation or autocovariance function estimation from the ...
Robust M-periodogram
Autocorrelation or autocovariance function estimation from the periodo...
Periodogram
Plot Robust Autocovariance and Robust Autocorrelation Functions
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>.