Applications of the Qn Estimator to Time Series (Univariate and Multivariate)
Robust correlation matrix
Robust correlation between the variables x and y
Robust covariance matrix
Robust covariance between the variables x and y
Classical and Robust Geweke and Porter-Hudak (GPH) estimators for the ...
Robust M-periodogram
Robust periodogram based on the Robust ACF
Plot Robust Autocovariance and Robust Autocorrelation Functions
Robust autocorrelation or autocovariance function estimation
Applications of the Qn estimator to time series (univariate and multiv...
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>.