tsqn

R package 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) <<a href=”http://dx.doi.org/10.1080/01621459.1993.10476408”>doi:10.1080/01621459.1993.10476408</a>> 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) <<a href=”http://dx.doi.org/10.1111/1467-9892.00203”>doi:10.1111/1467-9892.00203</a>>, <<a href=”http://dx.doi.org/10.1006/jmva.2000.1942”>doi:10.1006/jmva.2000.1942</a>> and Cotta (2017) <<a href=”http://dx.doi.org/10.13140/RG.2.2.14092.10883”>doi:10.13140/RG.2.2.14092.10883</a>> are provided. The robust pseudo-periodogram of Molinares et. al. (2009) <<a href=”http://dx.doi.org/10.1016/j.jspi.2008.12.014”>doi:10.1016/j.jspi.2008.12.014</a>> 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) <<a href=”http://dx.doi.org/10.1016/j.jspi.2017.02.008”>doi:10.1016/j.jspi.2017.02.008</a>>.