tsqn: 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) <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>.

Version: 1.0.0
Depends: R (≥ 3.2.3), robustbase, MASS, fracdiff
Published: 2017-03-29
Author: Higor Cotta, Valderio Reisen, Pascal Bondon and Céline Lévy-Leduc
Maintainer: Higor Cotta <cotta.higor at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: tsqn results


Reference manual: tsqn.pdf
Package source: tsqn_1.0.0.tar.gz
Windows binaries: r-devel: tsqn_1.0.0.zip, r-release: tsqn_1.0.0.zip, r-oldrel: tsqn_1.0.0.zip
OS X El Capitan binaries: r-release: tsqn_1.0.0.tgz
OS X Mavericks binaries: r-oldrel: tsqn_1.0.0.tgz


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