Package: qfa 2.1

Ta-Hsin Li

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

Quantile-frequency analysis (QFA) of univariate or multivariate time series based on trigonometric quantile regression. See Li, T.-H. (2012) "Quantile periodograms", Journal of the American Statistical Association, 107, 765–776, <doi:10.1080/01621459.2012.682815>; Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, <doi:10.1201/b15154>; Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric estimation of quantile spectra", <doi:10.48550/arXiv.2211.05844>.

Authors:Ta-Hsin Li [cre, aut]

qfa_2.1.tar.gz
qfa_2.1.tar.gz(r-4.5-noble)qfa_2.1.tar.gz(r-4.4-noble)
qfa_2.1.tgz(r-4.4-emscripten)qfa_2.1.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

1.04 score 11 scripts 192 downloads 31 exports 21 dependencies

Last updated 1 years agofrom:c14f9cf655. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKNov 13 2024
R-4.5-linux-x86_64OKNov 13 2024

Exports:ar2qspecqacfqdftqdft2qacfqdft2qperqdft2qserqfa.plotqkl.divergenceqperqper2qserqser2arqser2sarqsmooth.qdftqsmooth.qperqspec.arqspec.lwqspec.lwqsqspec.qslwqspec.sarqspec.sqrlwqspec2qcohsar.eq.bootstrapsar.eq.testsar.gc.bootstrapsar.gc.coefsar.gc.testsqdftsqr.fittqr.fittsqr.fit

Dependencies:codetoolscolorRampsdoParalleldotCall64fieldsforeachiteratorslatticemapsMASSMatrixMatrixModelsmgcvnlmequantregRcppRhpcBLASctlspamSparseMsurvivalviridisLite

Readme and manuals

Help Manual

Help pageTopics
Quantile Spectrum from AR Model of Quantile Seriesar2qspec
Quantile Autocovariance Function (QACF)qacf
Quantile Discrete Fourier Transform (QDFT)qdft
Quantile Autocovariance Function (QACF)qdft2qacf
Quantile Periodogram and Cross-Periodogram (QPER)qdft2qper
Quantile Series (QSER)qdft2qser
Quantile-Frequency Plotqfa.plot
Kullback-Leibler Divergence of Quantile Spectral Estimateqkl.divergence
Quantile Periodogram and Cross-Periodogram (QPER)qper
Quantile Periodogram Type II (QPER2)qper2
Quantile Series (QSER)qser
Autoregression (AR) Model of Quantile Seriesqser2ar
Spline Autoregression (SAR) Model of Quantile Seriesqser2sar
Quantile Smoothing of Quantile Discrete Fourier Transformqsmooth.qdft
Quantile Smoothing of Quantile Periodogram or Spectral Estimateqsmooth.qper
Autoregression (AR) Estimator of Quantile Spectrumqspec.ar
Lag-Window (LW) Estimator of Quantile Spectrumqspec.lw
Lag-Window-Quantile-Smoothing (LWQS) Estimator of Quantile Spectrumqspec.lwqs
Quantile-Smoothing-Lag-Window (QSLW) Estimator of Quantile Spectrumqspec.qslw
Spline Autoregression (SAR) Estimator of Quantile Spectrumqspec.sar
Spline-Quantile-Regression-Lag-Window (SQRLW) Estimator of Quantile Spectrumqspec.sqrlw
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 SAR-Based 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 SAR-Based Granger-Causality Analysissar.gc.test
Spline Quantile Discrete Fourier Transform (SQDFT)sqdft
Spline Quantile Regression (SQR)sqr.fit
Trigonometric Quantile Regression (TQR)tqr.fit
Trigonometric Spline Quantile Regression (TSQR)tsqr.fit