PerioMrob: Robust M-periodogram
In rogih/tsqn: Applications of the Qn Estimator to Time Series (Univariate and Multivariate)
Description
Usage
Arguments
Value
Author(s)
References
Examples
Description
This function computes the robust M-periodogram proposed by Reisen et al. (2017).
Usage
1
PerioMrob(series)
Arguments
series
univariate time series
Value
a numeric vector containing the robust estimates of the spectral density
Author(s)
Valderio Reisen, C<c3><a9>line L<c3><a9>vy-Leduc and Higor Cotta.
References
Reisen, V. A. and L<c3><a9>vy-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
1
rogih/tsqn documentation built on May 18, 2019, 12:23 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value Author(s) References Examples
Description
This function computes the robust M-periodogram proposed by Reisen et al. (2017).
Usage
1 | PerioMrob(series)
|
Arguments
series |
univariate time series |
Value
a numeric vector containing the robust estimates of the spectral density
Author(s)
Valderio Reisen, C<c3><a9>line L<c3><a9>vy-Leduc and Higor Cotta.
References
Reisen, V. A. and L<c3><a9>vy-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
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.