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,"
.
[6] Li, T.-H., and Megiddo, N. (2025) "Spline quantile regression,"
.