PerQn: Robust periodogram based on the Robust ACF

In tsqn: Applications of the Qn Estimator to Time Series (Univariate and Multivariate)

Description

Computes the robust pseudo-periodogram of Molinares et al (2009) based on the robust ACF by Ma and Genton (2000).

Usage

PerQn(x, window = "truncated", bandw.rob = 0.7)

Arguments

x	univariate time series
window	character string giving the type of the window. Allowed values are "truncated" (the default) or "NULL".
bandw.rob	is a numeric value giving the truncation point.

Value

a numeric vector containing the values of the robust periodogram proposed by Molinares (2009).

Author(s)

Valderio Reisen and Higor Cotta

References

Molinares, F. F. and Reisen, V. A., and Cribari-Neto, F. (2009) Robust estimation in long-memory processes under additive outliers. Journal of Statistical Planning and Inference, 139, 2511–2525.

Ma, Y. and Genton, M. G. (2000) Highly robust estimation of the autocovariance function. Journal of Time Series Analysis, 21, 663–684.

Examples

PerQn(ldeaths)

tsqn documentation built on May 2, 2019, 7:43 a.m.