qkl.divergence

This function computes Kullback-Leibler divergence (KLD) of quantile spectral estimate.

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, <doi:10.1080/01621459.2012.682815>.
[2] Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, <doi:10.1201/b15154>
[3] Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric
estimation of quantile spectra", <doi:10.48550/arXiv.2211.05844>.
[4] Li, T.-H. (2024) "Quantile crossing spectrum and spline autoregression
estimation," <doi:10.48550/arXiv.2412.02513>.
[5] Li, T.-H. (2024) "Spline autoregression method for estimation of quantile spectrum",
<doi:10.48550/arXiv.2412.17163>.

Ta-Hsin Li

Quantile-Frequency Analysis (QFA) of Time Series

qkl.divergence function

<dl><dt>y.qper</dt>
<dd>matrix or array of quantile spectral estimate from, e.g., <code>qspec.lw()</code></dd>
<dt>qspec</dt>
<dd>matrix of array of true quantile spectrum (same dimension as <code>y.qper</code>)</dd>
<dt>sel.f</dt>
<dd>index of selected frequencies for computation (default = <code>NULL</code>: all frequencies)</dd>
<dt>sel.tau</dt>
<dd>index of selected quantile levels for computation (default = <code>NULL</code>: all quantile levels)</dd></dl>

Arguments

Kullback-Leibler Divergence of Quantile Spectral Estimate — qkl.divergence

<dl>

<dt>y.qper</dt>
<dd>matrix or array of quantile spectral estimate from, e.g., <code>qspec.lw()</code></dd>


<dt>qspec</dt>
<dd>matrix of array of true quantile spectrum (same dimension as <code>y.qper</code>)</dd>


<dt>sel.f</dt>
<dd>index of selected frequencies for computation (default = <code>NULL</code>: all frequencies)</dd>


<dt>sel.tau</dt>
<dd>index of selected quantile levels for computation (default = <code>NULL</code>: all quantile levels)</dd>

</dl>

qkl.divergence: Kullback-Leibler Divergence of Quantile Spectral Estimate

Description

Usage

Value

Arguments