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qfa (version 4.0)

Quantile-Frequency Analysis (QFA) of Time Series

Description

Quantile-frequency analysis (QFA) of time series based on trigonometric quantile regression. Spline quantile regression (SQR) for regression coefficient estimation. References: [1] Li, T.-H. (2012) "Quantile periodograms", Journal of the American Statistical Association, 107, 765–776, . [2] Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, [3] Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric estimation of quantile spectra", . [4] Li, T.-H. (2024) "Quantile crossing spectrum and spline autoregression estimation," . [5] Li, T.-H. (2024) "Spline autoregression method for estimation of quantile spectrum", .

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Version

Install

install.packages('qfa')

Monthly Downloads

217

Version

4.0

License

GPL (>= 2)

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Repository

https://github.com/IBM/qfa

Homepage

https://github.com/thl2019/QFA

Maintainer

Ta-Hsin Li

Last Published

January 8th, 2025

Functions in qfa (4.0)

Quantile Periodogram (QPER)

Periodogram (PER)

Quantile Series (QSER)

Quantile-Frequency Plot

Quantile-Crossing Series (QCSER)

Quantile Autocovariance Function (QACF)

Quantile Discrete Fourier Transform (QDFT)

Kullback-Leibler Divergence of Quantile Spectral Estimate

Spline Autoregression (SAR) Model of Quantile Series

Quantile Periodogram (QPER)

Lag-Window (LW) Estimator of Quantile Spectrum

Quantile Periodogram Type II (QPER2)

Birthweight data

Autoregression (AR) Estimator of Quantile Spectrum

Spline Autoregression (SAR) Estimator of Quantile Spectrum

Quantile Series (QSER)

Spline Quantile Regression (SQR) by formula

Wald Test and Confidence Band for Equality of Granger-Causality in Two Samples

Spline Quantile Regression (SQR)

Spline Quantile Discrete Fourier Transform (SQDFT) of Time Series

Engel food expenditure data

Quantile Coherence Spectrum

sar.eq.bootstrap

Bootstrap Simulation of SAR Coefficients for Testing Equality of Granger-Causality in Two Samples

sar.gc.bootstrap

Bootstrap Simulation of SAR Coefficients for Granger-Causality Analysis

Spline Quantile Discrete Fourier Transform (SQDFT) of Time Series Given Smoothing Parameter

Autoregression (AR) Model of Quantile Series

Trigonometric Spline Quantile Regression (TSQR) of Time Series

Spline Quantile Regression (SQR) by Gradient Algorithms

Yearly sunspot numbers

ACF of Quantile Series (QSER) or Quantile-Crossing Series (QCACF)

Extraction of SAR Coefficients for Granger-Causality Analysis

Trigonometric Quantile Regression (TQR)

Wald Test and Confidence Band for Granger-Causality Analysis

Quantile Autocovariance Function (QACF)