Overview | Example data | 1. Wavelet Quantile Regression (WQR) | 2. Multivariate WQR | 3. Wavelet Quantile-on-Quantile Regression (WQQR) | 4. Nonparametric Causality-in-Quantiles | 5. Wavelet Quantile Mediation & Moderation | 6. Wavelet Quantile Correlation | 7. Wavelet Quantile Density Estimation | 8. Colour palettes | References
Package: wqrr 1.0.0
Merwan Roudane
wqrr: Wavelet Quantile Regression Toolbox
A comprehensive toolbox for wavelet-domain quantile analyses of bivariate and multivariate time series. Provides Wavelet Quantile Regression and Multivariate Wavelet Quantile Regression after Adebayo and Ozkan (2024) <doi:10.1016/j.jclepro.2024.140832>, Wavelet Quantile-on-Quantile regression with bootstrap p-values extending Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013>, the nonparametric Causality-in-Quantiles test of Balcilar, Gupta and Pierdzioch (2016) <doi:10.1016/j.resourpol.2016.04.004> together with its wavelet variant, Wavelet Quantile Mediation and Moderation, Wavelet Quantile Correlation, and a wavelet-based nonparametric Quantile Density estimator. The Maximal Overlap Discrete Wavelet Transform (MODWT) decomposition is performed via 'waveslim' and Short / Medium / Long band aggregation is supported throughout. For plain Quantile-on-Quantile regression see the companion CRAN package 'QuantileOnQuantile'. All interactive 3D surfaces, heatmaps and contour plots default to the 'MATLAB' 'Parula' colour map.
Authors:
wqrr_1.0.0.tar.gz
wqrr_1.0.0.tar.gz(r-4.7-any)wqrr_1.0.0.tar.gz(r-4.6-any)
wqrr_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
wqrr/json (API)
| # Install 'wqrr' in R: |
| install.packages('wqrr', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/merwanroudane/wqrr/issues
Last updated from:1fdf62437d. Checks:4 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 164 | ||
| source / vignettes | OK | 269 | ||
| linux-release-x86_64 | OK | 164 | ||
| wasm-release | OK | 182 |
Exports:aggregate_bandsbluered_colorsgreen_orange_red_colorsgreen_yellow_red_colorsmatlab_jet_colorsmodwt_mramultivariate_wqrnp_quantile_causalityparula_colorsplot_causalityplot_correlation_heatmapplot_mediation_panelplot_quantile_densityplot_wavelet_causalityplot_wqc_heatmapplot_wqqr_pvalue_heatmapplot_wqqr_surfaceplot_wqr_heatmapplot_wqr_vs_wqqrresolve_colorscaleresults_tablesinha_colorsturbo_colorswavelet_mediationwavelet_np_causalitywavelet_qqrwavelet_qrwavelet_quantile_correlationwavelet_quantile_densitywqr_to_matrixwqrr_colorscaleswqrr_palette
Dependencies:askpassbase64encbslibcachemclicpp11crosstalkcurldata.tabledigestdplyrevaluatefarverfastmapfontawesomefsgenericsggplot2gluegtablehighrhtmltoolshtmlwidgetshttrisobandjquerylibjsonliteknitrlabelinglaterlatticelazyevallifecyclemagrittrMASSMatrixMatrixModelsmemoisemimemultitaperopensslotelpillarpkgconfigplotlypromisespurrrquantregR6rappdirsRColorBrewerRcpprlangrmarkdownS7sassscalesSparseMstringistringrsurvivalsystibbletidyrtidyselecttinytexutf8vctrsviridisLitewaveslimwithrxfunyaml
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| wqrr: Wavelet Quantile Regression Toolbox | wqrr-package wqrr |
| MODWT decomposition and band aggregation | aggregate_bands modwt_mra |
| Multivariate Wavelet Quantile Regression (MWQR) | multivariate_wqr |
| Nonparametric Causality-in-Quantiles (and Wavelet Variant) | np_quantile_causality wavelet_np_causality |
| MATLAB-style colour palettes for wqrr | bluered_colors green_orange_red_colors green_yellow_red_colors matlab_jet_colors parula_colors resolve_colorscale sinha_colors turbo_colors wqrr_colorscales wqrr_palette |
| Visualisations for wqrr Results | plot_causality plot_correlation_heatmap plot_mediation_panel plot_qq_3d plot_qq_contour plot_qq_heatmap plot_quantile_density plot_wavelet_causality plot_wqc_heatmap plot_wqqr_pvalue_heatmap plot_wqqr_surface plot_wqr_heatmap plot_wqr_vs_wqqr |
| Formatted coefficient table with significance stars | results_table |
| Wavelet Quantile Mediation and Moderation | wavelet_mediation |
| Wavelet Quantile-on-Quantile Regression with p-values (WQQR) | wavelet_qqr |
| Wavelet Quantile Regression (WQR) | wavelet_qr wqr_to_matrix |
| Wavelet Quantile Correlation (WQC) | wavelet_quantile_correlation |
| Wavelet Quantile Density Estimation | wavelet_quantile_density |