tsqn (1.0.0)

0 users

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) 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) .

Maintainer: Higor Cotta
Author(s): Higor Cotta, Valderio Reisen, Pascal Bondon and Cline Lvy-Leduc

License: GPL (>= 2)

Uses: fracdiff, MASS, robustbase

Released over 2 years ago.



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of tsqn yet. Want to be the first? Write one now.

Related packages:(20 best matches, based on common tags.)

Search for tsqn on google, google scholar, r-help, r-devel.

Visit tsqn on R Graphical Manual.