{ "_id": "6a180cdcacfb0bcc41dadea8", "Package": "quantilogram", "Title": "Cross-Quantilogram", "Version": "3.1.1", "Authors@R": "c(\nperson(\"Tatsushi\", \"Oka\", , \"oka.econ@gmail.com\", role = c(\"aut\", \"cre\")),\nperson(\"Heejon\", \"Han\", role = \"ctb\"),\nperson(\"Oliver\", \"Linton\", role = \"ctb\"),\nperson(\"Yoon-Jae\", \"Whang\", role = \"ctb\")\n)", "Maintainer": "Tatsushi Oka ", "Description": "Estimation and inference methods for the\ncross-quantilogram. The cross-quantilogram is a measure of\nnonlinear dependence between two variables, based on either\nunconditional or conditional quantile functions. It can be\nconsidered an extension of the correlogram, which is a\ncorrelation function over multiple lag periods that mainly\nfocuses on linear dependency. One can use the\ncross-quantilogram to detect the presence of directional\npredictability from one time series to another. This package\nprovides a statistical inference method based on the stationary\nbootstrap. For detailed theoretical and empirical\nexplanations, see Linton and Whang (2007) for univariate time\nseries analysis and Han, Linton, Oka and Whang (2016) for\nmultivariate time series analysis. The full references for\nthese key publications are as follows: (1) Linton, O., and\nWhang, Y. J. (2007). The quantilogram: with an application to\nevaluating directional predictability. Journal of\nEconometrics, 141(1), 250-282\n; (2) Han, H., Linton, O.,\nOka, T., and Whang, Y. J. (2016). The cross-quantilogram:\nmeasuring quantile dependence and testing directional\npredictability between time series. Journal of Econometrics,\n193(1), 251-270 .", "License": "GPL (>= 3)", "Encoding": "UTF-8", "RoxygenNote": "7.3.2", "LazyData": "true", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-28 09:34:18 UTC", "User": "root" }, "Author": "Tatsushi Oka [aut, cre], Heejon Han [ctb], Oliver Linton [ctb],\nYoon-Jae Whang [ctb]", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2024-08-28 02:50:27 UTC", "RemoteUrl": "https://github.com/cran/quantilogram", "RemoteRef": "HEAD", "RemoteSha": "0eb5995835e175f9b44d42fa74e6abf00d3b603b", "MD5sum": "d6d1a56d93fb4bb3f22d9ae1c2a317bb", "_user": "cran", "_type": "src", "_file": "quantilogram_3.1.1.tar.gz", "_fileid": "7e208503e0e44ba401b4a99d2ff0cef409cf9a37cb2a1dd1fe142190e43e10ca", "_filesize": 382452, "_sha256": "7e208503e0e44ba401b4a99d2ff0cef409cf9a37cb2a1dd1fe142190e43e10ca", "_created": "2026-05-28T09:34:18.000Z", "_published": "2026-05-28T09:37:32.873Z", "_distro": "noble", "_jobs": [ { "job": 78263422191, "time": 132, 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