qdft2qacf {qfa} | R Documentation |
Quantile Autocovariance Function (QACF)
Description
This function computes quantile autocovariance function (QACF) from QDFT.
Usage
qdft2qacf(y.qdft, return.qser = FALSE)
Arguments
y.qdft |
matrix or array of QDFT from |
return.qser |
if |
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 |
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")
[Package qfa version 2.1 Index]