crossq.partial.sb

DATA

A pair of two probability values at which sample quantiles are estimated

vecA

A parameter for the stationary bootstrap

gamma

The number of repetition of bootstrap

Bsize

The statistical significance level

sigLev

Returns critical values for the partial cross-quantilogram, based on the stationary bootstrap.

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. The cross-quantilogram can be
considered as an extension of the correlogram, which is a correlation
function over multiple lag periods and 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. See Linton and Whang (2007)
<doi:10.1016/j.jeconom.2007.01.004> for univariate time series
analysis and Han, Linton, Oka and Whang (2016)
<doi:10.1016/j.jeconom.2016.03.001> for multivariate time series
analysis.

crossq.partial.sb: Stationary Bootstrap for the Partial Cross-Quantilogram

Description

Usage

Arguments

Value

Details

References