tsqn

MaRDI QIDQ31276swMATHCRANFDO

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

Last update 16 March 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0.0, PACKAGES.rds, 1.2.0

Official website https://cran.r-project.org/web/packages/tsqn/index.html

Source code repository https://github.com/cran/tsqn

Description

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>.

Cites work

• Alternatives to the Median Absolute Deviation
• An<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si11.gif" display="inline" overflow="scroll"><mml:mi>M</mml:mi></mml:math>-estimator for the long-memory parameter
• Highly Robust Estimation of Dispersion Matrices
• Highly robust estimation of the autocovariance function
• Robust estimation in long-memory processes under additive outliers

Cited in

(4)

• Highly robust estimation of the autocovariance function
• Robust estimation in long-memory processes under additive outliers
• Alternatives to the Median Absolute Deviation
• Highly robust estimation of dispersion matrices

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