tsqn

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.