Create an instance of the KernelWeight
class. Create an instance of the ClippedFT
class. Class to calculate copula covariances from a time series with given levels.
Calculates for each combination of levels \((\tau_1,\tau_2)\)
and for all \(k < \code{maxLag}\) the copula covariances
\(Cov(1_{X_0 < \tau_1},1_{X_k < \tau_2})\)
and writes it to values[k]
from its superclass LagOperator
. Class for Fourier transform of the clipped time series.
Class for Brillinger-type Kernel weights.
IntegrQuantileSD-constructor
Create an instance of the IntegrQuantileSD
class. Class for a simulated integrated quantile (i. e., Laplace or copula)
density kernel.
Class for Generation of Bootstrapped Replications of a Time Series.
Interface Class to access different types of operators on time series.
Create an instance of the ClippedCov
class. Create an instance of the MovingBlocks
class. Class for Moving Blocks Bootstrap implementation.
Get associated FreqRep
from a
QuantilePG
. Get N
from a quantile spectral density kernel
Class for a Quantile Spectral Estimator.
Class for Frequency Representation.
Class for a smoothed quantile periodogram.
QRegEstimator-constructor
Create an instance of the QRegEstimator
class.
Get meanPG
from a quantile spectral density kernel
Get attribute frequencies
from a FreqRep
. getParallel-QRegEstimator
Get getParallel
from a QRegEstimator
object Class for quantile regression-based estimates in the harmonic linear model.
Create an instance of the SmoothedPG
class.
Class for weights to estimate integrated spectral density kernels.
Validates if frequencies are Fourier frequencies from
\([0,\pi]\).
SpecDistrWeight-constructor
Create an instance of the SpecDistrWeight
class. Generic functions for accessing attributes of objects
Get attribute descr
from a Weight
.
getFrequencies-QSpecQuantity
Get attribute frequencies
from a QSpecQuantity
.
getCoherencySdNaive-SmoothedPG
Get estimates for the standard deviation of the coherency computed from
smoothed quantile periodogram.
Class for lag window generators
LagKernelWeight-constructor
Create an instance of the LagKernelWeight
class. Get isRankBased
from a FreqRep
object getPointwiseCIs-SmoothedPG
Get pointwise confidence intervals for the quantile spectral density kernel,
quantile coherency or quantile coherence.
S&P 500: Standard and Poor's 500 stock index, 2007--2010
Class for a simulated quantile (i. e., Laplace or copula)
density kernel.
Class for a quantile (i. e., Laplace or copula) periodogram.
Beveridge's Wheat Price Index (detrended and demeaned), 1500--1869
Get stdError
from a quantile spectral density kernel
getPointwiseCIs-LagEstimator
Get pointwise confidence intervals for the quantile spectral density kernel
Create an instance of the QuantilePG
class. Create an instance of the LagEstimator
class.
Get associated BootPos
from a
FreqRep
. Workhorse function for getCoherency-SmoothedPG
. Get attribute Wnj
from a QSpecQuantity
.
Class for a lag-window type estimator.
Plot the values of the IntegrQuantileSD
. Get associated Weight
from a SmoothedPG
. Get ts
from a quantile spectral density kernel
getPositions-MovingBlocks
Get Positions for the Moving Blocks Bootstrap.
Positions of elements which are closest to some reference elements.
Interface Class to access different types of weighting functions.
getValues-SpecDistrWeight
Get values from a weight object of type SpecDistrWeight
getValues-IntegrQuantileSD
Get values from a simulated integrated quantile spectral density kernel
Create an instance of the QuantileSD
class. getIsRankBased-LagOperator
Get isRankBased
from a LagOperator
object Generic functions for accessing associations of objects
getLagOperator-LagEstimator
Get associated LagOperator
from a LagEstimator
. Get associated BootPos
from a
LagOperator
. Get values from a weight object determined by a kernel function W
and
a bandwidth b
.
Plot the values of the KernelWeight
. Get attribute W
(kernel used for smoothing) from a KernelWeight
.
Get B
from a FreqRep
object. Plot the values of the LagKernelWeight
. Workhorse function for getSdNaive-SmoothedPG
. Plot the values of a LagEstimator
. Simulation of an AR(1) time series.
Simulation of an AR(2) time series.
Get associated QuantilePG
from a QuantileSD
. Generic functions for implementation of methods of a class
Get Y
from a FreqRep
object. Get attribute levels
from a FreqRep
. Get values from a lag-window type estimator.
Get associated QuantilePG
from a SmoothedPG
. Get bootstrap estimates for the standard deviation of the lag-window type
estimator.
Compute quantile coherency from a quantile spectral density kernel
Compute quantile coherency from a smoothed quantile periodogram.
Get attribute levels
from a LagOperator
.
Get bootstrap estimates for the standard deviation of the smoothed quantile
periodogram.
getValues-LagKernelWeight
Get values from a weight object determined by a kernel function W
and
a bandwidth bw
.
Plot the values of the SpecDistrWeight
. increasePrecision-QuantileSD
Increase the precision of a QuantileSD
Defunct functions in package quantspec
Get estimates for the standard deviation of the smoothed quantile
periodogram.
Get associated Weight
from a LagEstimator
. Get estimates for the standard deviation of the lagEstimator derived from
the asymptotics (see Birr et al (2015))
Get attribute W
(kernel used for smoothing) from a LagKernelWeight
.
Functions to simulate from the time series models in Kley et. al (2016).
Kernel function.
Get values from a quantile spectral density kernel
Validates if Y
is of an appropriate type and converts to a numeric.
Plot the values of the LagOperator
. Get attribute bw
(bandwidth / scaling parameter used for smoothing)
from a KernelWeight
.
Checks whether x
contains integer numbers.
Simulation of an QAR(1) time series.
Quantile-Based Spectral Analysis of Time Series
Plot the values of the QuantilePG
. Get attribute bw
(bandwidth / scaling parameter used for smoothing)
from a LagKernelWeight
.
Simulation of an ARCH(1) time series.
Get values from a smoothed quantile periodogram.
Get B
from a LagOperator
object. Get attribute levels
from a QSpecQuantity
.
Get maxLag
from a LagOperator
object. getQuantileSD-IntegrQuantileSD
Get R
from a quantile spectral density kernel
Get type
from a quantile spectral density kernel
Get values from a frequency representation.
Get attribute values
from a LagOperator
.
Get values from a quantile periodogram.
Validates if Y
is of an appropriate type for a time series and
returns the length of the time series.
Plot the values of the FreqRep
. Plot the values of the QuantileSD
. Plot the values of a SmoothedPG
.