tsqn 1.0.0
Applications of the Qn Estimator to Time Series (Univariate and Multivariate)
Released Mar 29, 2017 by Higor Cotta
This package cannot yet be used with Renjin it depends on other packages which are not available:
robustbase 0.93-2
Dependencies
robustbase 0.93-2
fracdiff 1.4-2
MASS 7.3-50
Time Series Qn is a package with applications of the Qn estimator of Rousseeuw and Croux (1993) 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) , and Cotta (2017) are provided. The robust pseudo-periodogram of Molinares et. al. (2009) 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) .
