QuantilePG-constructor {quantspec}

Create an instance of the QuantilePG class.

Description

The parameter type.boot can be set to choose a block bootstrapping procedure. If "none" is chosen, a moving blocks bootstrap with l=length(Y) and N=length(Y) would be done. Note that in that case one would also chose B=0 which means that getPositions would never be called. If B>0 then each bootstrap replication would be the undisturbed time series.

Usage

quantilePG(
  Y,
  frequencies = 2 * pi/lenTS(Y) * 0:(lenTS(Y) - 1),
  levels.1 = 0.5,
  levels.2 = levels.1,
  isRankBased = TRUE,
  type = c("clipped", "qr"),
  type.boot = c("none", "mbb"),
  B = 0,
  l = 0,
  method = c("br", "fn", "pfn", "fnc", "lasso", "scad"),
  parallel = FALSE
)

Arguments

Y

A vector of real numbers containing the time series from which to determine the quantile periodogram or a ts object or a zoo object.

frequencies

A vector containing frequencies at which to determine the quantile periodogram.

levels.1

A vector of length K1 containing the levels x1 at which the QuantilePG is to be determined.

levels.2

A vector of length K2 containing the levels x2.

isRankBased

If true the time series is first transformed to pseudo data [cf. FreqRep].

type

A flag to choose the type of the estimator. Can be either "clipped" or "qr". In the first case ClippedFT is used as a frequency representation, in the second case QRegEstimator is used.

type.boot

A flag to choose a method for the block bootstrap; currently two options are implemented: "none" and "mbb" which means to do a moving blocks bootstrap with B and l as specified.

B

number of bootstrap replications

l

(expected) length of blocks

method

method used for computing the quantile regression estimates. The choice is passed to qr; see the documentation of quantreg for details.

parallel

a flag to allow performing parallel computations, where possible.

Value

Returns an instance of QuantilePG.