tsqn (Python)
Python port of the original R package tsqn, providing robust time-series
estimators based on the Qn scale estimator.
Features
- Robust covariance and correlation:
covQn,corQncovMatQn,corMatQn
- Robust autocorrelation/autocovariance:
robacfplot_robacf
- Robust periodograms:
PerQnPerioMrob
- Long-memory estimation:
GPH_estimate
Install
pip install tsqn-python
Quick start
import numpy as np
from tsqn import covQn, corQn, robacf, GPH_estimate
rng = np.random.default_rng(42)
x = rng.normal(size=500)
y = 0.5 * x + rng.normal(size=500)
print(covQn(x, y))
print(corQn(x, y))
acf_out = robacf(np.column_stack([x, y]), lag_max=20, type="correlation", plot=False)
print(acf_out.acf.shape) # (20, 2, 2)
print(GPH_estimate(x, method="GPH"))
1 maintainer
Metadata
1 maintainer
Release files for tsqn-python 0.1.0
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