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quantspec (version 1.2-4)

Quantile-Based Spectral Analysis of Time Series

Description

Methods to determine, smooth and plot quantile periodograms for univariate and multivariate time series. See Kley (2016) for a description and tutorial.

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install.packages('quantspec')

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413

Version

1.2-4

License

GPL (>= 2)

Issues

1

Pull Requests

0

Stars

10

Forks

11

Maintainer

Tobias Kley

Last Published

July 11th, 2024

Functions in quantspec (1.2-4)

LagOperator-class

Interface Class to access different types of operators on time series.
MovingBlocks-class

Class for Moving Blocks Bootstrap implementation.
LagEstimator-class

Class for a lag-window type estimator.
LagKernelWeight-class

Class for lag window generators
LagKernelWeight-constructor

Create an instance of the LagKernelWeight class.
QSpecQuantity-class

Class for a Quantile Spectral Estimator.
closest.pos

Positions of elements which are closest to some reference elements.
SmoothedPG-class

Class for a smoothed quantile periodogram.
SmoothedPG-constructor

Create an instance of the SmoothedPG class.
MovingBlocks-constructor

Create an instance of the MovingBlocks class.
QRegEstimator-constructor

Create an instance of the QRegEstimator class.
Weight-class

Interface Class to access different types of weighting functions.
QRegEstimator-class

Class for quantile regression-based estimates in the harmonic linear model.
LagEstimator-constructor

Create an instance of the LagEstimator class.
getB-LagOperator

Get B from a LagOperator object.
QuantilePG-class

Class for a quantile (i. e., Laplace or copula) periodogram.
QuantilePG-constructor

Create an instance of the QuantilePG class.
data-sp500

S&P 500: Standard and Poor's 500 stock index, 2007--2010
getB-FreqRep

Get B from a FreqRep object.
data-wheatprices

Beveridge's Wheat Price Index (detrended and demeaned), 1500--1869
frequenciesValidator

Validates if frequencies are Fourier frequencies from \([0,\pi]\).
QuantileSD-constructor

Create an instance of the QuantileSD class.
QuantileSD-class

Class for a simulated quantile (i. e., Laplace or copula) density kernel.
getCoherencySdNaive-SmoothedPG

Get estimates for the standard deviation of the coherency computed from smoothed quantile periodogram.
.computeSdNaive

Workhorse function for getSdNaive-SmoothedPG.
.computeCoherency

Workhorse function for getCoherency-SmoothedPG.
SpecDistrWeight-constructor

Create an instance of the SpecDistrWeight class.
SpecDistrWeight-class

Class for weights to estimate integrated spectral density kernels.
generics-accessors

Generic functions for accessing attributes of objects
getCoherency-QuantileSD

Compute quantile coherency from a quantile spectral density kernel
getBootPos-FreqRep

Get associated BootPos from a FreqRep.
getLevels-QSpecQuantity

Get attribute levels from a QSpecQuantity.
getBootPos-LagOperator

Get associated BootPos from a LagOperator.
getLevels-FreqRep

Get attribute levels from a FreqRep.
getFrequencies-QSpecQuantity

Get attribute frequencies from a QSpecQuantity.
getIsRankBased-FreqRep

Get isRankBased from a FreqRep object
getCoherency-SmoothedPG

Compute quantile coherency from a smoothed quantile periodogram.
getDescr-Weight

Get attribute descr from a Weight.
getLevels-LagOperator

Get attribute levels from a LagOperator.
generics-associations

Generic functions for accessing associations of objects
generics-functions

Generic functions for implementation of methods of a class
getBw-LagKernelWeight

Get attribute bw (bandwidth / scaling parameter used for smoothing) from a LagKernelWeight.
getFreqRep-QuantilePG

Get associated FreqRep from a QuantilePG.
getMeanPG-QuantileSD

Get meanPG from a quantile spectral density kernel
getFrequencies-FreqRep

Get attribute frequencies from a FreqRep.
getBw-KernelWeight

Get attribute bw (bandwidth / scaling parameter used for smoothing) from a KernelWeight.
getStdError-QuantileSD

Get stdError from a quantile spectral density kernel
getIsRankBased-LagOperator

Get isRankBased from a LagOperator object
getTs-QuantileSD

Get ts from a quantile spectral density kernel
getN-QuantileSD

Get N from a quantile spectral density kernel
getPointwiseCIs-LagEstimator

Get pointwise confidence intervals for the quantile spectral density kernel
getSdBoot-SmoothedPG

Get bootstrap estimates for the standard deviation of the smoothed quantile periodogram.
getSdBoot-LagEstimator

Get bootstrap estimates for the standard deviation of the lag-window type estimator.
getLagOperator-LagEstimator

Get associated LagOperator from a LagEstimator.
getValues-LagOperator

Get attribute values from a LagOperator.
getValues-QuantilePG

Get values from a quantile periodogram.
getValues-IntegrQuantileSD

Get values from a simulated integrated quantile spectral density kernel
getMaxLag-LagOperator

Get maxLag from a LagOperator object.
getType-QuantileSD

Get type from a quantile spectral density kernel
getValues-FreqRep

Get values from a frequency representation.
getParallel-QRegEstimator

Get getParallel from a QRegEstimator object
getQuantilePG-QuantileSD

Get associated QuantilePG from a QuantileSD.
getW-LagKernelWeight

Get attribute W (kernel used for smoothing) from a LagKernelWeight.
getValues-KernelWeight

Get values from a weight object determined by a kernel function W and a bandwidth b.
getPositions-MovingBlocks

Get Positions for the Moving Blocks Bootstrap.
getPointwiseCIs-SmoothedPG

Get pointwise confidence intervals for the quantile spectral density kernel, quantile coherency or quantile coherence.
getValues-QuantileSD

Get values from a quantile spectral density kernel
getValues-SmoothedPG

Get values from a smoothed quantile periodogram.
lenTS

Validates if Y is of an appropriate type for a time series and returns the length of the time series.
getQuantilePG-SmoothedPG

Get associated QuantilePG from a SmoothedPG.
ts-models-AR2

Simulation of an AR(2) time series.
plot-KernelWeight

Plot the values of the KernelWeight.
getValues-LagKernelWeight

Get values from a weight object determined by a kernel function W and a bandwidth bw.
getValues-LagEstimator

Get values from a lag-window type estimator.
getWeight-LagEstimator

Get associated Weight from a LagEstimator.
plot-FreqRep

Plot the values of the FreqRep.
quantspec-package

Quantile-Based Spectral Analysis of Time Series
plot-LagKernelWeight

Plot the values of the LagKernelWeight.
plot-LagEstimator

Plot the values of a LagEstimator.
plot-IntegrQuantileSD

Plot the values of the IntegrQuantileSD.
ts-models

Functions to simulate from the time series models in Kley et. al (2016).
timeSeriesValidator

Validates if Y is of an appropriate type and converts to a numeric.
getSdNaive-LagEstimator

Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
ts-models-AR1

Simulation of an AR(1) time series.
getSdNaive-SmoothedPG

Get estimates for the standard deviation of the smoothed quantile periodogram.
getQuantileSD-IntegrQuantileSD

Get associated getQuantileSD from an IntegrQuantileSD.
getValues-SpecDistrWeight

Get values from a weight object of type SpecDistrWeight
getR-QuantileSD

Get R from a quantile spectral density kernel
getW-KernelWeight

Get attribute W (kernel used for smoothing) from a KernelWeight.
getWeight-SmoothedPG

Get associated Weight from a SmoothedPG.
getWnj-KernelWeight

Get attribute Wnj from a QSpecQuantity.
kernels

Kernel function.
is.wholenumber

Checks whether x contains integer numbers.
plot-QuantileSD

Plot the values of the QuantileSD.
plot-SmoothedPG

Plot the values of a SmoothedPG.
ts-models-ARCH1

Simulation of an ARCH(1) time series.
increasePrecision-QuantileSD

Increase the precision of a QuantileSD
getY-FreqRep

Get Y from a FreqRep object.
plot-LagOperator

Plot the values of the LagOperator.
ts-models-QAR1

Simulation of an QAR(1) time series.
plot-QuantilePG

Plot the values of the QuantilePG.
plot-SpecDistrWeight

Plot the values of the SpecDistrWeight.
quantspec-defunct

Defunct functions in package quantspec
KernelWeight-constructor

Create an instance of the KernelWeight class.
KernelWeight-class

Class for Brillinger-type Kernel weights.
ClippedCov-class

Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels \((\tau_1,\tau_2)\) and for all \(k < \code{maxLag}\) the copula covariances \(Cov(1_{X_0 < \tau_1},1_{X_k < \tau_2})\) and writes it to values[k] from its superclass LagOperator.
IntegrQuantileSD-constructor

Create an instance of the IntegrQuantileSD class.
BootPos-class

Class for Generation of Bootstrapped Replications of a Time Series.
FreqRep-class

Class for Frequency Representation.
IntegrQuantileSD-class

Class for a simulated integrated quantile (i. e., Laplace or copula) density kernel.
ClippedFT-class

Class for Fourier transform of the clipped time series.
ClippedCov-constructor

Create an instance of the ClippedCov class.
ClippedFT-constructor

Create an instance of the ClippedFT class.