Robust covariance
The robust covariance of the series $\lbrace x_t, y_t\rbrace_{0 \le t \lt N}$ is computed as follows:
\[cov(x,y)=1/N \sum_{k=-M}^M {\omega_k} \sum_{i}x_{i}y_{i+k}\]The robust covariance of the series $\lbrace x_t, y_t\rbrace_{0 \le t \lt N}$ is computed as follows:
\[cov(x,y)=1/N \sum_{k=-M}^M {\omega_k} \sum_{i}x_{i}y_{i+k}\]