quantspec-package: Quantile-based Spectral Analysis of Time Series
Description
Methods to determine, smooth and plot quantile (i. e.,
Laplace or copula) periodograms for univariate time series.
Arguments
Contents
The quantspec package contains an hierachy of S4
classes with corresponding methods and functions serving
as constructors. The following class diagrams provide an
overview on the structure of the package. In the first
class diagram the classes implementing the estimators are
implemented.
html{main.png{options: width=960}}
latex{main.pdf{options: width=15cm}}
In the second class diagram the classes implementing
model quantities are displayed. A relation to the
``empirical classes'' is given via the fact that the
quantile spectral densities are computed by simulation of
quantile periodograms and a common abstract superclass
QSpecQuantity which is used to provide a common
interface to quantile spectral quantities.
html{csd.png{options: width=768}}
latex{csd.pdf{options: width=12cm}}
Besides the object-oriented design a few auxiliary
functions exists. They serve as parameters or are mostly
for internal use. A more detailed description of the
framework can be found in the paper on the package (Kley,
2014b).
Organization of the source code / files in the <code>/R</code> folder
All of the source code related to the specification of a
certain class is contained in a file named
Class-[Name_of_the_class].R. This includes, in the
following order,
all roxygen@includeto insure the correctly generated collate
for the DESCRIPTION file.
\setClasspreceded by a meaningful roxygen documentation.
specification of aninitializemethod, where
appropriate.
all accessor and mutator method (i.
e., getter and setter); first the ones returning
attributes of the object, then the ones returning
associated objects.
constructors; use generics if
there is more than one of them.
showandplotmethods.
Coding Conventions
To improve readability of the software and documentation
this package was written in the spirit of the ``Coding
conventions of the Java Programming Language'' (Oracle,
2014). In particular, the naming conventions for classes
and methods have been adopted, where ``Class names should
be nouns, in mixed case with the first letter of each
internal word capitalized.'' and ``Methods should be
verbs, in mixed case with the first letter lowercase,
with the first letter of each internal word
capitalized.''
Naming Conventions for the Documentation
To reflect the structure of the contents of the package
in the documentation file, the following system for
naming of the sections is adopted:
Documentation of an S4 class is named as the name of the
class followed by ``-class''. [cf.QuantilePG-class]
Documentation of a
constructor for an S4-class is named as the name of the
class followed by ``-constructor''. [cf.QuantilePG-constructor]
Documentation
of a method dispaching to an object of a certain S4 class
is named by the name of the method, followed by ``-'',
followed by the name of the Class. [cf.getValues-QuantilePG]
Kley, T. (2014a). Quantile-Based Spectral Analysis:
Asymptotic Theory and Computation. unpublished Ph.D.
Dissertation, Ruhr University Bochum.
Kley, T. (2014b). An Object-oriented Framework for
Quantile-based Spectral Analysis and a Reference
Implementation in R: The quantspec Package. Vignette to
this R package.
Dette, H., Hallin, M., Kley, T. & Volgushev, S. (2014+). Of
Copulas, Quantiles, Ranks and Spectra: an
$L_1$-approach to spectral analysis.
Bernoulli, forthcoming.
Kley, T., Volgushev, S., Dette, H. & Hallin, M. (2014).
Quantile Spectral Processes: Asymptotic Analysis and
Inference. http://arxiv.org/abs/1401.8104.
Oracle (2014). Coding conventions of the Java Programming
Language.
http://www.oracle.com/technetwork/java/codeconv-138413.html.