Package: qfa 4.0

Ta-Hsin Li

qfa: Quantile-Frequency Analysis (QFA) of Time Series

Quantile-frequency analysis (QFA) of time series based on trigonometric quantile regression. Spline quantile regression (SQR) for regression coefficient estimation. References: [1] Li, T.-H. (2012) "Quantile periodograms", Journal of the American Statistical Association, 107, 765–776, <doi:10.1080/01621459.2012.682815>. [2] Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, <doi:10.1201/b15154> [3] Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric estimation of quantile spectra", <doi:10.48550/arXiv.2211.05844>. [4] Li, T.-H. (2024) "Quantile crossing spectrum and spline autoregression estimation," <doi:10.48550/arXiv.2412.02513>. [5] Li, T.-H. (2024) "Spline autoregression method for estimation of quantile spectrum", <doi:10.48550/arXiv.2412.17163>.

Authors:Ta-Hsin Li [cre, aut]

qfa_4.0.tar.gz
qfa_4.0.tar.gz(r-4.5-noble)qfa_4.0.tar.gz(r-4.4-noble)
qfa_4.0.tgz(r-4.4-emscripten)qfa_4.0.tgz(r-4.3-emscripten)
qfa.pdf |qfa.html✨
qfa/json (API)

# Install 'qfa' in R:
install.packages('qfa', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/ibm/qfa/issues

Uses libs:
  • openblas– Optimized BLAS
Datasets:

fortranopenblas

1.34 score 11 scripts 330 downloads 31 exports 21 dependencies

Last updated 24 days agofrom:b47e50a13d. Checks:2 OK. Indexed: no.

TargetResultLatest binary
Doc / VignettesOKJan 08 2025
R-4.5-linux-x86_64OKJan 08 2025

Exports:perqacfqcserqdftqdft2qacfqdft2qperqdft2qserqfa.plotqkl.divergenceqperqper2qserqser2arqser2qacfqser2sarqspec.arqspec.lwqspec.sarqspec2qcohsar.eq.bootstrapsar.eq.testsar.gc.bootstrapsar.gc.coefsar.gc.testsqdftsqdft.fitsqrsqr.fitsqr.fit.optimtqr.fittsqr.fit

Dependencies:codetoolscolorRampsdoParalleldotCall64fieldsforeachiteratorslatticemapsMASSMatrixMatrixModelsmgcvnlmequantregRcppRhpcBLASctlspamSparseMsurvivalviridisLite

Readme and manuals

Help Manual

Help pageTopics
Birthweight databirthweight
Engel food expenditure dataengel
Periodogram (PER)per
Quantile Autocovariance Function (QACF)qacf
Quantile-Crossing Series (QCSER)qcser
Quantile Discrete Fourier Transform (QDFT)qdft
Quantile Autocovariance Function (QACF)qdft2qacf
Quantile Periodogram (QPER)qdft2qper
Quantile Series (QSER)qdft2qser
Quantile-Frequency Plotqfa.plot
Kullback-Leibler Divergence of Quantile Spectral Estimateqkl.divergence
Quantile Periodogram (QPER)qper
Quantile Periodogram Type II (QPER2)qper2
Quantile Series (QSER)qser
Autoregression (AR) Model of Quantile Seriesqser2ar
ACF of Quantile Series (QSER) or Quantile-Crossing Series (QCACF)qser2qacf
Spline Autoregression (SAR) Model of Quantile Seriesqser2sar
Autoregression (AR) Estimator of Quantile Spectrumqspec.ar
Lag-Window (LW) Estimator of Quantile Spectrumqspec.lw
Spline Autoregression (SAR) Estimator of Quantile Spectrumqspec.sar
Quantile Coherence Spectrumqspec2qcoh
Bootstrap Simulation of SAR Coefficients for Testing Equality of Granger-Causality in Two Samplessar.eq.bootstrap
Wald Test and Confidence Band for Equality of Granger-Causality in Two Samplessar.eq.test
Bootstrap Simulation of SAR Coefficients for Granger-Causality Analysissar.gc.bootstrap
Extraction of SAR Coefficients for Granger-Causality Analysissar.gc.coef
Wald Test and Confidence Band for Granger-Causality Analysissar.gc.test
Spline Quantile Discrete Fourier Transform (SQDFT) of Time Seriessqdft
Spline Quantile Discrete Fourier Transform (SQDFT) of Time Series Given Smoothing Parametersqdft.fit
Spline Quantile Regression (SQR) by formulasqr
Spline Quantile Regression (SQR)sqr.fit
Spline Quantile Regression (SQR) by Gradient Algorithmssqr.fit.optim
Trigonometric Quantile Regression (TQR)tqr.fit
Trigonometric Spline Quantile Regression (TSQR) of Time Seriestsqr.fit
Yearly sunspot numbersyearssn