PerioMrob: Robust M-periodogram

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

Description

This function computes the robust M-periodogram proposed by Reisen et al. (2017).

Usage

PerioMrob(series)

Arguments

series

univariate time series

Value

a numeric vector containing the robust estimates of the spectral density

Author(s)

Valderio Reisen, Céline Lévy-Leduc and Higor Cotta.

References

Reisen, V. A. and Lévy-Leduc, C. and Taqqu, M. (2017) An M-estimator for the long-memory parameter. To appear in Journal of Statistical Planning and Inference.

Geweke, J. and Porter-Hudak, S. (1983) The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221–238.

Examples

PerioMrob(ldeaths)

Example output

Loading required package: robustbase
Loading required package: MASS
Loading required package: fracdiff
 [1] 5.309624e+04 1.075547e+04 5.572100e+03 7.764772e+03 1.086379e+04
 [6] 1.690958e+06 9.728298e+03 1.141988e+04 1.428702e+04 4.879754e+03
[11] 7.565388e+03 8.294870e+04 4.114512e+03 1.611377e+04 1.669833e+04
[16] 8.990262e+03 9.589668e+03 1.157074e+01 6.572918e+03 5.425724e+03
[21] 1.936009e+04 1.580520e+04 8.584274e+03 1.568441e+04 2.113039e+03
[26] 6.071316e+03 8.207039e+03 7.362136e+03 4.716770e+03 5.508752e+03
[31] 2.044700e+03 4.561333e+03 6.195662e+02 5.952116e+03 6.094942e+03
[36] 1.984247e+31 6.094942e+03 5.952116e+03 6.195662e+02 4.561333e+03
[41] 2.044700e+03 5.508752e+03 4.716770e+03 7.362136e+03 8.207039e+03
[46] 6.071316e+03 2.113039e+03 1.568441e+04 8.584274e+03 1.580520e+04
[51] 1.936009e+04 5.425724e+03 6.572918e+03 1.157074e+01 9.589668e+03
[56] 8.990262e+03 1.669833e+04 1.611377e+04 4.114512e+03 8.294870e+04
[61] 7.565388e+03 4.879754e+03 1.428702e+04 1.141988e+04 9.728298e+03
[66] 1.690958e+06 1.086379e+04 7.764772e+03 5.572100e+03 1.075547e+04
[71] 5.309624e+04

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