qper2 {qfa}

Quantile Periodogram Type II (QPER2)

Description

This function computes type-II quantile periodogram for univariate time series.

Usage

qper2(y, freq, tau, weights = NULL, n.cores = 1, cl = NULL)

Arguments

y

univariate time series

freq

sequence of frequencies in [0,1)

tau

sequence of quantile levels in (0,1)

weights

sequence of weights in quantile regression (default = NULL: weights equal to 1)

n.cores

number of cores for parallel computing (default = 1)

cl

pre-existing cluster for repeated parallel computing (default = NULL)

Value

matrix of quantile periodogram evaluated on freq * tau grid

Examples

y <- stats::arima.sim(list(order=c(1,0,0), ar=0.5), n=64)
tau <- seq(0.1,0.9,0.05)
n <- length(y)
ff <- c(0:(n-1))/n
sel.f <- which(ff > 0 & ff < 0.5)
y.qper2 <- qper2(y,ff,tau)
qfa.plot(ff[sel.f],tau,Re(y.qper2[sel.f,]))