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robust_autocorrelation

Function robust_autocorrelation 

Source
pub fn robust_autocorrelation(x: &[f64], max_lag: usize) -> Result<Vec<f64>>
Expand description

Ma & Genton’s (2000) robust autocorrelations for lags 0..=max_lag: ρ̂_Q(h) = [Q²(u+v) − Q²(u−v)] / [Q²(u+v) + Q²(u−v)], bounded in [−1, 1] by construction and independent of the consistency constant. Numerator and denominator share the same contaminated pairs, so the additive-outlier bias that affects γ̂_Q(h)/γ̂_Q(0) largely cancels (this is what crate::Statistic::PacfRobust feeds into Levinson).