qfa (version 4.1)

qdft2qacf: Quantile Autocovariance Function (QACF)

Description

This function computes quantile autocovariance function (QACF) from QDFT.

Usage

qdft2qacf(y.qdft, return.qser = FALSE)

Value

matrix or array of quantile autocovariance function if return.sqer = FALSE (default), else a list with the following elements:

qacf

matirx or array of quantile autocovariance function

qser

matrix or array of quantile series

Arguments

y.qdft

matrix or array of QDFT from qdft()

return.qser

if TRUE, return quantile series (QSER) along with QACF

Examples

# single time series
y1 <- stats::arima.sim(list(order=c(1,0,0), ar=0.5), n=64)
tau <- seq(0.1,0.9,0.05)
y.qdft <- qdft(y1,tau)
y.qacf <- qdft2qacf(y.qdft)
plot(c(0:9),y.qacf[c(1:10),1],type='h',xlab="LAG",ylab="QACF")
y.qser <- qdft2qacf(y.qdft,return.qser=TRUE)$qser
plot(y.qser[,1],type='l',xlab="TIME",ylab="QSER")
# multiple time series
y2 <- stats::arima.sim(list(order=c(1,0,0), ar=-0.5), n=64)
y.qdft <- qdft(cbind(y1,y2),tau)
y.qacf <- qdft2qacf(y.qdft)
plot(c(0:9),y.qacf[1,2,c(1:10),1],type='h',xlab="LAG",ylab="QACF")