qkl.divergence {qfa}

Kullback-Leibler Divergence of Quantile Spectral Estimate

Description

This function computes Kullback-Leibler divergence (KLD) of quantile spectral estimate.

Usage

qkl.divergence(y.qper, qspec, sel.f = NULL, sel.tau = NULL)

Arguments

y.qper

matrix or array of quantile spectral estimate from, e.g., qspec.lw()

qspec

matrix of array of true quantile spectrum/cross-spectrum (same dimension as y.qper)

sel.f

index of selected frequencies for computation (default = NULL: all frequencies)

sel.tau

index of selected quantile levels for computation (default = NULL: all quantile levels)

Value

real number of Kullback-Leibler divergence