PerioMrob {tsqn}

Robust M-periodogram

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)