qser2ar

This function fits an autoregression (AR) model to quantile series (QSER) separately for each quantile level using <code><a href="/link/stats%3A%3Aar()?package=qfa&version=4.0" data-mini-rdoc="qfa::stats::ar()">stats::ar()</a></code>.

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

qser2ar function

<dl><dt>y.qser</dt>
<dd>matrix or array of pre-calculated QSER, e.g., using <code>qser()</code></dd>
<dt>p</dt>
<dd>order of AR model (default = <code>NULL</code>: selected by AIC)</dd>
<dt>order.max</dt>
<dd>maximum order for AIC if <code>p = NULL</code> (default = <code>NULL</code>: determined by <code><a href="/link/stats%3A%3Aar()?package=qfa&version=4.0" data-mini-rdoc="qfa::stats::ar()">stats::ar()</a></code>)</dd>
<dt>method</dt>
<dd>quantile smoothing method: <code>"gamm"</code>, <code>"sp"</code>, or <code>"NA"</code> (default)</dd></dl>

Arguments

This function fits an autoregression (AR) model to quantile series (QSER) separately for each quantile level using <code><a href='https://rdrr.io/r/stats/ar.html'>stats::ar()</a></code>.

Autoregression (AR) Model of Quantile Series — qser2ar

<dl>

<dt>y.qser</dt>
<dd>matrix or array of pre-calculated QSER, e.g., using <code>qser()</code></dd>


<dt>p</dt>
<dd>order of AR model (default = <code>NULL</code>: selected by AIC)</dd>


<dt>order.max</dt>
<dd>maximum order for AIC if <code>p = NULL</code> (default = <code>NULL</code>: determined by <code><a href='https://rdrr.io/r/stats/ar.html'>stats::ar()</a></code>)</dd>


<dt>method</dt>
<dd>quantile smoothing method: <code>"gamm"</code>, <code>"sp"</code>, or <code>"NA"</code> (default)</dd>

</dl>

qser2ar: Autoregression (AR) Model of Quantile Series

Description

Usage

Value

Arguments