Package: quantilogram 3.1.1

Tatsushi Oka

quantilogram: Cross-Quantilogram

Estimation and inference methods for the cross-quantilogram. The cross-quantilogram is a measure of nonlinear dependence between two variables, based on either unconditional or conditional quantile functions. It can be considered an extension of the correlogram, which is a correlation function over multiple lag periods that mainly focuses on linear dependency. One can use the cross-quantilogram to detect the presence of directional predictability from one time series to another. This package provides a statistical inference method based on the stationary bootstrap. For detailed theoretical and empirical explanations, see Linton and Whang (2007) for univariate time series analysis and Han, Linton, Oka and Whang (2016) for multivariate time series analysis. The full references for these key publications are as follows: (1) Linton, O., and Whang, Y. J. (2007). The quantilogram: with an application to evaluating directional predictability. Journal of Econometrics, 141(1), 250-282 <doi:10.1016/j.jeconom.2007.01.004>; (2) Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270 <doi:10.1016/j.jeconom.2016.03.001>.

Authors:Tatsushi Oka [aut, cre], Heejon Han [ctb], Oliver Linton [ctb], Yoon-Jae Whang [ctb]

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

Peer review:

Datasets:
  • stock - The Data Set of Monthly Stock Return and Sotck Variance
  • sys.risk - The Data Set for Systemic Risk Analysis

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.18 score 3 stars 8 scripts 242 downloads 18 exports 37 dependencies

Last updated 4 months agofrom:0eb5995835. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 26 2024
R-4.5-linuxOKNov 26 2024

Exports:crossqcrossq.heatmapcrossq.maxcrossq.max.partialcrossq.partialcrossq.partial.sbcrossq.partial.sb.optcrossq.plotcrossq.sbcrossq.sb.optcrossqregcrossqreg.maxcrossqreg.max.partialcrossqreg.partialcrossqreg.sbQstat.reg.sbQstat.sbQstat.sb.opt

Dependencies:bootclicolorspacecubaturefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixMatrixModelsmgcvmunsellnlmenppillarpkgconfigquadprogquantregR6RColorBrewerRcpprlangscalesSparseMsurvivaltibbleutf8vctrsviridisLitewithr