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quantspec (version 1.0-0)

Quantile-based Spectral Analysis of Time Series

Description

Methods to determine, smooth and plot quantile (i. e., Laplace or copula) periodograms for univariate time series.

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Install

install.packages('quantspec')

Monthly Downloads

261

Version

1.0-0

License

GPL (>= 2)

Issues

1

Pull Requests

0

Stars

11

Forks

11

Maintainer

Tobias Kley

Last Published

April 27th, 2014

Functions in quantspec (1.0-0)

frequenciesValidator

Validates if frequencies are Fourier frequencies from $[0,\pi]$.
data-sp500

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

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

Create an instance of the KernelWeight class.
getR-QuantileSD

Get R from a quantile spectral density kernel
getPositions-MovingBlocks

Get Positions for the Moving Blocks Bootstrap.
getTs-QuantileSD

Get ts from a quantile spectral density kernel
getSdNaive-SmoothedPG

Get estimates for the standard deviation of the smoothed quantile periodogram.
QSpecQuantity-class

Class for a Quantile Spectral Estimator.
ClippedFT-constructor

Create an instance of the ClippedFT class.
SpecDistrWeight-class

Class for weights to estimate integrated spectral density kernels.
increasePrecision-QuantileSD

Increase the precision of a QuantileSD
KernelWeight-class

Class for Brillinger-type Kernel weights.
FreqRep-class

Class for Frequency Representation.
getFreqRep-QuantilePG

Get associated FreqRep from a QuantilePG.
getValues-QuantilePG

Get values from a quantile periodogram.
Weight-class

Interface Class to access different types of weighting functions.
getWnj-KernelWeight

Get attribute Wnj from a QSpecQuantity.
getType-QuantileSD

Get type from a quantile spectral density kernel
plot-KernelWeight

Plot the values of the KernelWeight.
getWeight-SmoothedPG

Get associated Weight from a SmoothedPG.
getMeanPG-QuantileSD

Get meanPG from a quantile spectral density kernel
generics-accessors

Generic functions for accessing attributes of objects
QuantilePG-constructor

Create an instance of the QuantilePG class.
IntegrQuantileSD-constructor

Create an instance of the IntegrQuantileSD class.
getPointwiseCIs-SmoothedPG

Get pointwise confidence intervals for the quantile spectral density kernel
getFrequencies-FreqRep

Get attribute frequencies from a FreqRep.
ClippedFT-class

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

Create an instance of the QRegEstimator class.
getLevels-FreqRep

Get attribute levels from a FreqRep.
getB-FreqRep

Get B from a FreqRep object.
getN-QuantileSD

Get N from a quantile spectral density kernel
ts-models-AR2

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

Get attribute W (kernel used for smoothing) from a KernelWeight.
plot-SpecDistrWeight

Plot the values of the SpecDistrWeight.
SpecDistrWeight-constructor

Create an instance of the SpecDistrWeight class.
getValues-IntegrQuantileSD

Get values from a simulated integrated quantile spectral density kernel
getQuantilePG-QuantileSD

Get associated QuantilePG from a QuantileSD.
plot-IntegrQuantileSD

Plot the values of the IntegrQuantileSD.
getY-FreqRep

Get Y from a FreqRep object.
getIsRankBased-FreqRep

Get isRankBased from a FreqRep object
plot-QuantileSD

Plot the values of the QuantileSD.
kernels

Kernel function.
getParallel-QRegEstimator

Get getParallel from a QRegEstimator object
getQuantileSD-IntegrQuantileSD

Get associated getQuantileSD from an IntegrQuantileSD.
closest.pos

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

Get associated QuantilePG from a SmoothedPG.
getStdError-QuantileSD

Get stdError from a quantile spectral density kernel
getSdBoot-SmoothedPG

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

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

Get attribute levels from a QSpecQuantity.
getValues-SpecDistrWeight

Get values from a weight object of type SpecDistrWeight
quantspec-deprecated

Deprecated functions in package quantspec
QuantileSD-class

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

Create an instance of the QuantileSD class.
MovingBlocks-constructor

Create an instance of the MovingBlocks class.
getBootPos-FreqRep

Get associated BootPos from a FreqRep.
SmoothedPG-constructor

Create an instance of the SmoothedPG class.
getFrequencies-QSpecQuantity

Get attribute frequencies from a QSpecQuantity.
generics-functions

Generic functions for implementation of methods of a class
getValues-SmoothedPG

Get values from a smoothed quantile periodogram.
SmoothedPG-class

Class for a smoothed quantile periodogram.
MovingBlocks-class

Class for Moving Blocks Bootstrap implementation.
quantspec-package

Quantile-based Spectral Analysis of Time Series
getDescr-Weight

Get attribute descr from a Weight.
BootPos-class

Class for Generation of Bootstrapped Replications of a Time Series.
is.wholenumber

Checks whether x contains integer numbers.
ts-models-QAR1

Simulation of an QAR(1) time series.
getValues-QuantileSD

Get values from a quantile spectral density kernel
getValues-KernelWeight

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

Plot the values of the QuantilePG.
QuantilePG-class

Class for a quantile (i. e., Laplace or copula) periodogram.
ts-models-ARCH1

Simulation of an ARCH(1) time series.
getValues-FreqRep

Get values from a frequency representation.
plot-SmoothedPG

Plot the values of a SmoothedPG.
timeSeriesValidator

Validates if Y is of an appropriate type and converts to a numeric.
ts-models

Functions to simulate from the time series models in Kley et. al (2014).
QRegEstimator-class

Class for quantile regression-based estimates in the harmonic linear model.
data-wheatprices

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

Generic functions for accessing associations of objects
plot-FreqRep

Plot the values of the FreqRep.
ts-models-AR1

Simulation of an AR(1) time series.