Quantile-Based Spectral Analysis of Time Series

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Documentation for package ‘quantspec’ version 1.2-4

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A B C D F G I K L M P Q S T W misc

quantspec-package Quantile-Based Spectral Analysis of Time Series

-- A --

AR1 Simulation of an AR(1) time series.
AR2 Simulation of an AR(2) time series.
ARCH1 Simulation of an ARCH(1) time series.

-- B --

BootPos Class for Generation of Bootstrapped Replications of a Time Series.
BootPos-class Class for Generation of Bootstrapped Replications of a Time Series.

-- C --

ClippedCov Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k<maxLag the copula covariances Cov(Ind{X0<tau1},Ind{Xk<tau2}) and writes it to 'values[k]' from its superclass 'LagOperator'.
clippedCov Create an instance of the 'ClippedCov' class.
ClippedCov-class Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k<maxLag the copula covariances Cov(Ind{X0<tau1},Ind{Xk<tau2}) and writes it to 'values[k]' from its superclass 'LagOperator'.
ClippedCov-constructor Create an instance of the 'ClippedCov' class.
ClippedFT Class for Fourier transform of the clipped time series.
clippedFT Create an instance of the 'ClippedFT' class.
ClippedFT-class Class for Fourier transform of the clipped time series.
ClippedFT-constructor Create an instance of the 'ClippedFT' class.
closest.pos Positions of elements which are closest to some reference elements.
ct Defunct functions in package quantspec

-- D --

data-sp500 S&P 500: Standard and Poor's 500 stock index, 2007-2010
data-wheatprices Beveridge's Wheat Price Index (detrended and demeaned), 1500-1869

-- F --

FreqRep Class for Frequency Representation.
FreqRep-class Class for Frequency Representation.
frequenciesValidator Validates if frequencies are Fourier frequencies from [0,pi].

-- G --

generics-accessors Generic functions for accessing attributes of objects
generics-associations Generic functions for accessing associations of objects
generics-functions Generic functions for implementation of methods of a class
getB Generic functions for accessing attributes of objects
getB-FreqRep Get 'B' from a 'FreqRep' object.
getB-LagOperator Get 'B' from a 'LagOperator' object.
getB-method Get 'B' from a 'FreqRep' object.
getB-method Get 'B' from a 'LagOperator' object.
getBootPos Generic functions for accessing associations of objects
getBootPos-FreqRep Get associated 'BootPos' from a 'FreqRep'.
getBootPos-LagOperator Get associated 'BootPos' from a 'LagOperator'.
getBootPos-method Get associated 'BootPos' from a 'FreqRep'.
getBootPos-method Get associated 'BootPos' from a 'LagOperator'.
getBw Generic functions for accessing attributes of objects
getBw-KernelWeight Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'KernelWeight'.
getBw-LagKernelWeight Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'LagKernelWeight'.
getBw-method Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'KernelWeight'.
getBw-method Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'LagKernelWeight'.
getCoherency Generic functions for accessing attributes of objects
getCoherency-method Compute quantile coherency from a quantile spectral density kernel
getCoherency-method Compute quantile coherency from a smoothed quantile periodogram.
getCoherency-QuantileSD Compute quantile coherency from a quantile spectral density kernel
getCoherency-SmoothedPG Compute quantile coherency from a smoothed quantile periodogram.
getCoherencySdNaive Generic functions for accessing attributes of objects
getCoherencySdNaive-method Get estimates for the standard deviation of the coherency computed from smoothed quantile periodogram.
getCoherencySdNaive-SmoothedPG Get estimates for the standard deviation of the coherency computed from smoothed quantile periodogram.
getDescr Generic functions for accessing attributes of objects
getDescr-method Get attribute 'descr' from a 'Weight'.
getDescr-Weight Get attribute 'descr' from a 'Weight'.
getFreqRep Generic functions for accessing associations of objects
getFreqRep-method Get associated 'FreqRep' from a 'QuantilePG'.
getFreqRep-QuantilePG Get associated 'FreqRep' from a 'QuantilePG'.
getFrequencies Generic functions for accessing attributes of objects
getFrequencies-FreqRep Get attribute 'frequencies' from a 'FreqRep'.
getFrequencies-method Get attribute 'frequencies' from a 'FreqRep'.
getFrequencies-method Get attribute 'frequencies' from a 'QSpecQuantity'.
getFrequencies-QSpecQuantity Get attribute 'frequencies' from a 'QSpecQuantity'.
getIsRankBased Generic functions for accessing attributes of objects
getIsRankBased-FreqRep Get 'isRankBased' from a 'FreqRep' object
getIsRankBased-LagOperator Get 'isRankBased' from a 'LagOperator' object
getIsRankBased-method Get 'isRankBased' from a 'FreqRep' object
getIsRankBased-method Get 'isRankBased' from a 'LagOperator' object
getLagOperator Generic functions for accessing attributes of objects
getLagOperator-LagEstimator Get associated 'LagOperator' from a 'LagEstimator'.
getLagOperator-method Get associated 'LagOperator' from a 'LagEstimator'.
getLevels Generic functions for accessing attributes of objects
getLevels-FreqRep Get attribute 'levels' from a 'FreqRep'.
getLevels-LagOperator Get attribute 'levels' from a 'LagOperator'.
getLevels-method Get attribute 'levels' from a 'FreqRep'.
getLevels-method Get attribute 'levels' from a 'LagOperator'.
getLevels-method Get attribute 'levels' from a 'QSpecQuantity'.
getLevels-QSpecQuantity Get attribute 'levels' from a 'QSpecQuantity'.
getMaxLag Generic functions for accessing attributes of objects
getMaxLag-LagOperator Get 'maxLag' from a 'LagOperator' object.
getMaxLag-method Get 'maxLag' from a 'LagOperator' object.
getMeanPG Generic functions for accessing attributes of objects
getMeanPG-method Get 'meanPG' from a quantile spectral density kernel
getMeanPG-QuantileSD Get 'meanPG' from a quantile spectral density kernel
getN Generic functions for accessing attributes of objects
getN-method Get 'N' from a quantile spectral density kernel
getN-QuantileSD Get 'N' from a quantile spectral density kernel
getParallel Generic functions for accessing attributes of objects
getParallel-method Get 'getParallel' from a 'QRegEstimator' object
getParallel-QRegEstimator Get 'getParallel' from a 'QRegEstimator' object
getPointwiseCIs Generic functions for accessing attributes of objects
getPointwiseCIs-LagEstimator Get pointwise confidence intervals for the quantile spectral density kernel
getPointwiseCIs-method Get pointwise confidence intervals for the quantile spectral density kernel
getPointwiseCIs-method Get pointwise confidence intervals for the quantile spectral density kernel, quantile coherency or quantile coherence.
getPointwiseCIs-SmoothedPG Get pointwise confidence intervals for the quantile spectral density kernel, quantile coherency or quantile coherence.
getPositions Generic functions for implementation of methods of a class
getPositions-method Get Positions for the Moving Blocks Bootstrap.
getPositions-MovingBlocks Get Positions for the Moving Blocks Bootstrap.
getQuantilePG Generic functions for accessing associations of objects
getQuantilePG-method Get associated 'QuantilePG' from a 'QuantileSD'.
getQuantilePG-method Get associated 'QuantilePG' from a 'SmoothedPG'.
getQuantilePG-QuantileSD Get associated 'QuantilePG' from a 'QuantileSD'.
getQuantilePG-SmoothedPG Get associated 'QuantilePG' from a 'SmoothedPG'.
getQuantileSD Generic functions for accessing associations of objects
getQuantileSD-IntegrQuantileSD Get associated 'getQuantileSD' from an 'IntegrQuantileSD'.
getQuantileSD-method Get associated 'getQuantileSD' from an 'IntegrQuantileSD'.
getR Generic functions for accessing attributes of objects
getR-method Get 'R' from a quantile spectral density kernel
getR-QuantileSD Get 'R' from a quantile spectral density kernel
getSdBoot Generic functions for accessing attributes of objects
getSdBoot-LagEstimator Get bootstrap estimates for the standard deviation of the lag-window type estimator.
getSdBoot-method Get bootstrap estimates for the standard deviation of the lag-window type estimator.
getSdBoot-method Get bootstrap estimates for the standard deviation of the smoothed quantile periodogram.
getSdBoot-SmoothedPG Get bootstrap estimates for the standard deviation of the smoothed quantile periodogram.
getSdNaive Generic functions for accessing attributes of objects
getSdNaive-LagEstimator Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
getSdNaive-method Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
getSdNaive-method Get estimates for the standard deviation of the smoothed quantile periodogram.
getSdNaive-SmoothedPG Get estimates for the standard deviation of the smoothed quantile periodogram.
getStdError Generic functions for accessing attributes of objects
getStdError-method Get 'stdError' from a quantile spectral density kernel
getStdError-QuantileSD Get 'stdError' from a quantile spectral density kernel
getTs Generic functions for accessing attributes of objects
getTs-method Get 'ts' from a quantile spectral density kernel
getTs-QuantileSD Get 'ts' from a quantile spectral density kernel
getType Generic functions for accessing attributes of objects
getType-method Get 'type' from a quantile spectral density kernel
getType-QuantileSD Get 'type' from a quantile spectral density kernel
getValues Generic functions for accessing attributes of objects
getValues-FreqRep Get values from a frequency representation.
getValues-IntegrQuantileSD Get values from a simulated integrated quantile spectral density kernel
getValues-KernelWeight Get values from a weight object determined by a kernel function 'W' and a bandwidth 'b'.
getValues-LagEstimator Get values from a lag-window type estimator.
getValues-LagKernelWeight Get values from a weight object determined by a kernel function 'W' and a bandwidth 'bw'.
getValues-LagOperator Get attribute 'values' from a 'LagOperator'.
getValues-method Get values from a frequency representation.
getValues-method Get values from a simulated integrated quantile spectral density kernel
getValues-method Get values from a weight object determined by a kernel function 'W' and a bandwidth 'b'.
getValues-method Get values from a lag-window type estimator.
getValues-method Get values from a weight object determined by a kernel function 'W' and a bandwidth 'bw'.
getValues-method Get attribute 'values' from a 'LagOperator'.
getValues-method Get values from a quantile periodogram.
getValues-method Get values from a quantile spectral density kernel
getValues-method Get values from a smoothed quantile periodogram.
getValues-method Get values from a weight object of type 'SpecDistrWeight'
getValues-QuantilePG Get values from a quantile periodogram.
getValues-QuantileSD Get values from a quantile spectral density kernel
getValues-SmoothedPG Get values from a smoothed quantile periodogram.
getValues-SpecDistrWeight Get values from a weight object of type 'SpecDistrWeight'
getW Generic functions for accessing attributes of objects
getW-KernelWeight Get attribute 'W' (kernel used for smoothing) from a 'KernelWeight'.
getW-LagKernelWeight Get attribute 'W' (kernel used for smoothing) from a 'LagKernelWeight'.
getW-method Get attribute 'W' (kernel used for smoothing) from a 'KernelWeight'.
getW-method Get attribute 'W' (kernel used for smoothing) from a 'LagKernelWeight'.
getWeight Generic functions for accessing associations of objects
getWeight-LagEstimator Get associated 'Weight' from a 'LagEstimator'.
getWeight-method Get associated 'Weight' from a 'LagEstimator'.
getWeight-method Get associated 'Weight' from a 'SmoothedPG'.
getWeight-SmoothedPG Get associated 'Weight' from a 'SmoothedPG'.
getWnj Generic functions for accessing attributes of objects
getWnj-KernelWeight Get attribute 'Wnj' from a 'QSpecQuantity'.
getWnj-method Get attribute 'Wnj' from a 'QSpecQuantity'.
getY Generic functions for accessing attributes of objects
getY-FreqRep Get 'Y' from a 'FreqRep' object.
getY-method Get 'Y' from a 'FreqRep' object.

-- I --

increasePrecision Generic functions for implementation of methods of a class
increasePrecision-method Increase the precision of a 'QuantileSD'
increasePrecision-QuantileSD Increase the precision of a 'QuantileSD'
IntegrQuantileSD Class for a simulated integrated quantile (i. e., Laplace or copula) density kernel.
integrQuantileSD Create an instance of the 'IntegrQuantileSD' class.
IntegrQuantileSD-class Class for a simulated integrated quantile (i. e., Laplace or copula) density kernel.
IntegrQuantileSD-constructor Create an instance of the 'IntegrQuantileSD' class.
is.wholenumber Checks whether 'x' contains integer numbers.

-- K --

kernels Kernel function.
KernelWeight Class for Brillinger-type Kernel weights.
kernelWeight Create an instance of the 'KernelWeight' class.
KernelWeight-class Class for Brillinger-type Kernel weights.
KernelWeight-constructor Create an instance of the 'KernelWeight' class.

-- L --

LagEstimator Class for a lag-window type estimator.
lagEstimator Create an instance of the 'LagEstimator' class.
LagEstimator-class Class for a lag-window type estimator.
LagEstimator-constructor Create an instance of the 'LagEstimator' class.
LagKernelWeight Class for lag window generators
lagKernelWeight Create an instance of the 'LagKernelWeight' class.
LagKernelWeight-class Class for lag window generators
LagKernelWeight-constructor Create an instance of the 'LagKernelWeight' class.
LagOperator Interface Class to access different types of operators on time series.
LagOperator-class Interface Class to access different types of operators on time series.
LaplacePeriodogram Defunct functions in package quantspec
lenTS Validates if 'Y' is of an appropriate type for a time series and returns the length of the time series.

-- M --

MovingBlocks Class for Moving Blocks Bootstrap implementation.
movingBlocks Create an instance of the 'MovingBlocks' class.
MovingBlocks-class Class for Moving Blocks Bootstrap implementation.
MovingBlocks-constructor Create an instance of the 'MovingBlocks' class.

-- P --

plot-FreqRep Plot the values of the 'FreqRep'.
plot-IntegrQuantileSD Plot the values of the 'IntegrQuantileSD'.
plot-KernelWeight Plot the values of the 'KernelWeight'.
plot-LagEstimator Plot the values of a 'LagEstimator'.
plot-LagKernelWeight Plot the values of the 'LagKernelWeight'.
plot-LagOperator Plot the values of the 'LagOperator'.
plot-method Plot the values of the 'FreqRep'.
plot-method Plot the values of the 'IntegrQuantileSD'.
plot-method Plot the values of the 'KernelWeight'.
plot-method Plot the values of a 'LagEstimator'.
plot-method Plot the values of the 'LagKernelWeight'.
plot-method Plot the values of the 'LagOperator'.
plot-method Plot the values of the 'QuantilePG'.
plot-method Plot the values of the 'QuantileSD'.
plot-method Plot the values of a 'SmoothedPG'.
plot-method Plot the values of the 'SpecDistrWeight'.
plot-QuantilePG Plot the values of the 'QuantilePG'.
plot-QuantileSD Plot the values of the 'QuantileSD'.
plot-SmoothedPG Plot the values of a 'SmoothedPG'.
plot-SpecDistrWeight Plot the values of the 'SpecDistrWeight'.
plotLaplacePeriodogram Defunct functions in package quantspec

-- Q --

QAR1 Simulation of an QAR(1) time series.
QRegEstimator Class for quantile regression-based estimates in the harmonic linear model.
qRegEstimator Create an instance of the 'QRegEstimator' class.
QRegEstimator-class Class for quantile regression-based estimates in the harmonic linear model.
QRegEstimator-constructor Create an instance of the 'QRegEstimator' class.
QSpecQuantity Class for a Quantile Spectral Estimator.
QSpecQuantity-class Class for a Quantile Spectral Estimator.
QuantilePG Class for a quantile (i. e., Laplace or copula) periodogram.
quantilePG Create an instance of the 'QuantilePG' class.
QuantilePG-class Class for a quantile (i. e., Laplace or copula) periodogram.
QuantilePG-constructor Create an instance of the 'QuantilePG' class.
QuantileSD Class for a simulated quantile (i. e., Laplace or copula) density kernel.
quantileSD Create an instance of the 'QuantileSD' class.
QuantileSD-class Class for a simulated quantile (i. e., Laplace or copula) density kernel.
QuantileSD-constructor Create an instance of the 'QuantileSD' class.
quantspec Quantile-Based Spectral Analysis of Time Series
quantspec-defunct Defunct functions in package quantspec

-- S --

smoothedLaplacePeriodogram Defunct functions in package quantspec
SmoothedPG Class for a smoothed quantile periodogram.
smoothedPG Create an instance of the 'SmoothedPG' class.
SmoothedPG-class Class for a smoothed quantile periodogram.
SmoothedPG-constructor Create an instance of the 'SmoothedPG' class.
sp500 S&P 500: Standard and Poor's 500 stock index, 2007-2010
SpecDistrWeight Class for weights to estimate integrated spectral density kernels.
specDistrWeight Create an instance of the 'SpecDistrWeight' class.
SpecDistrWeight-class Class for weights to estimate integrated spectral density kernels.
SpecDistrWeight-constructor Create an instance of the 'SpecDistrWeight' class.

-- T --

timeSeriesValidator Validates if 'Y' is of an appropriate type and converts to a numeric.
ts-models Functions to simulate from the time series models in Kley et. al (2016).
ts-models-AR1 Simulation of an AR(1) time series.
ts-models-AR2 Simulation of an AR(2) time series.
ts-models-ARCH1 Simulation of an ARCH(1) time series.
ts-models-QAR1 Simulation of an QAR(1) time series.
ts1 Functions to simulate from the time series models in Kley et. al (2016).
ts2 Functions to simulate from the time series models in Kley et. al (2016).
ts3 Functions to simulate from the time series models in Kley et. al (2016).

-- W --

W0 Kernel function.
W1 Kernel function.
W2 Kernel function.
W3 Kernel function.
WDaniell Kernel function.
Weight Interface Class to access different types of weighting functions.
Weight-class Interface Class to access different types of weighting functions.
wheatprices Beveridge's Wheat Price Index (detrended and demeaned), 1500-1869
WParzen Kernel function.

-- misc --

.computeCoherency Workhorse function for 'getCoherency-SmoothedPG'.
.computeSdNaive Workhorse function for 'getSdNaive-SmoothedPG'.