qser2sar {qfa}

Spline Autoregression (SAR) Model of Quantile Series

Description

This function fits spline autoregression (SAR) model to quantile series (QSER).

Usage

qser2sar(
  y.qser,
  tau,
  d = 1,
  p = NULL,
  order.max = NULL,
  spar = NULL,
  method = c("AIC", "BIC", "GCV"),
  weighted = FALSE
)

Arguments

y.qser

matrix or array of pre-calculated QSER, e.g., using qser()

tau

sequence of quantile levels where y.qser is calculated

d

subsampling rate of quantile levels (default = 1)

p

order of SAR model (default = NULL: automatically selected by AIC)

order.max

maximum order for AIC if p = NULL (default = NULL: determined by stats::ar())

spar

penalty parameter alla smooth.spline (default = NULL: automatically selected)

method

criterion for penalty parameter selection: "AIC" (default), "BIC", or "GCV"

weighted

if TRUE, penalty function is weighted (default = FALSE)

Value

a list with the following elements:

A

matrix or array of SAR coefficients

V

vector or matrix of SAR residual covariance

p

order of SAR model

spar

penalty parameter

tau

sequence of quantile levels

n

length of time series

d

subsampling rate of quantile levels

weighted

option for weighted penalty function

fit

object containing details of SAR fit