dbacf

Provides methods for (auto)covariance/correlation function estimation in change point regression with stationary errors circumventing the pre-estimation of the underlying signal of the observations. Generic, first-order, (m+1)-gapped, difference-based autocovariance function estimator is based on M. Levine and I. Tecuapetla-Gómez (2023) doi:10.48550/arXiv.1905.04578. Bias-reducing, second-order, (m+1)-gapped, difference-based estimator is based on I. Tecuapetla-Gómez and A. Munk (2017) doi:10.1111/sjos.12256. Robust autocovariance estimator for change point regression with autoregressive errors is based on S. Chakar et al. (2017) doi:10.3150/15-BEJ782. It also includes a general projection-based method for covariance matrix estimation.

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