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) .


Reference manual

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1.0.0 by Higor Cotta, 4 years ago

Browse source code at

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

Documentation:   PDF Manual  

GPL (>= 2) license

Depends on robustbase, MASS, fracdiff

See at CRAN