Quantile-Frequency Analysis (QFA) of Time Series


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Documentation for package ‘qfa’ version 2.1

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ar2qspec Quantile Spectrum from AR Model of Quantile Series
qacf Quantile Autocovariance Function (QACF)
qdft Quantile Discrete Fourier Transform (QDFT)
qdft2qacf Quantile Autocovariance Function (QACF)
qdft2qper Quantile Periodogram and Cross-Periodogram (QPER)
qdft2qser Quantile Series (QSER)
qfa.plot Quantile-Frequency Plot
qkl.divergence Kullback-Leibler Divergence of Quantile Spectral Estimate
qper Quantile Periodogram and Cross-Periodogram (QPER)
qper2 Quantile Periodogram Type II (QPER2)
qser Quantile Series (QSER)
qser2ar Autoregression (AR) Model of Quantile Series
qser2sar Spline Autoregression (SAR) Model of Quantile Series
qsmooth.qdft Quantile Smoothing of Quantile Discrete Fourier Transform
qsmooth.qper Quantile Smoothing of Quantile Periodogram or Spectral Estimate
qspec.ar Autoregression (AR) Estimator of Quantile Spectrum
qspec.lw Lag-Window (LW) Estimator of Quantile Spectrum
qspec.lwqs Lag-Window-Quantile-Smoothing (LWQS) Estimator of Quantile Spectrum
qspec.qslw Quantile-Smoothing-Lag-Window (QSLW) Estimator of Quantile Spectrum
qspec.sar Spline Autoregression (SAR) Estimator of Quantile Spectrum
qspec.sqrlw Spline-Quantile-Regression-Lag-Window (SQRLW) Estimator of Quantile Spectrum
qspec2qcoh Quantile Coherence Spectrum
sar.eq.bootstrap Bootstrap Simulation of SAR Coefficients for Testing Equality of Granger-Causality in Two Samples
sar.eq.test Wald Test and Confidence Band for Equality of SAR-Based Granger-Causality in Two Samples
sar.gc.bootstrap Bootstrap Simulation of SAR Coefficients for Granger-Causality Analysis
sar.gc.coef Extraction of SAR Coefficients for Granger-Causality Analysis
sar.gc.test Wald Test and Confidence Band for SAR-Based Granger-Causality Analysis
sqdft Spline Quantile Discrete Fourier Transform (SQDFT)
sqr.fit Spline Quantile Regression (SQR)
tqr.fit Trigonometric Quantile Regression (TQR)
tsqr.fit Trigonometric Spline Quantile Regression (TSQR)