qfa (version 4.0)

qcser: Quantile-Crossing Series (QCSER)

Description

This function creates the quantile-crossing series (QCSER) for univariate or multivariate time series.

Usage

qcser(y, tau, normalize = FALSE)

Value

A matrix or array of quantile-crossing series

Arguments

y

vector or matrix of time series

tau

sequence of quantile levels in (0,1)

normalize

TRUE or FALSE (default): normalize QCSER to have unit variance

Examples

y <- stats::arima.sim(list(order=c(1,0,0), ar=0.5), n=64)
tau <- seq(0.1,0.9,0.05)
y.qser <- qcser(y,tau)
dim(y.qser)