crossq.partial.sb.opt

DATA

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

vecA

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 with the choice of the stationary-bootstrap parameter.

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.

Tatsushi Oka

quantilogram

Cross-Quantilogram

Heejon Han

Oliver Linton

Yoon-Jae Whang

crossq.partial.sb.opt function

<dl><dt>DATA</dt>
<dd>The original data matrix</dd>
<dt>vecA</dt>
<dd>A pair of two probability values at which sample quantiles are estimated</dd>
<dt>k</dt>
<dd>A lag order</dd>
<dt>Bsize</dt>
<dd>The number of repetition of bootstrap</dd>
<dt>sigLev</dt>
<dd>The statistical significance level</dd></dl>

Arguments

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

Author

Stationary Bootstrap for the Partial Cross-Quantilogram dwith the choice of the stationary-bootstrap parameter — crossq.partial.sb.opt

<dl>

<dt>DATA</dt>
<dd>The original data matrix</dd>


<dt>vecA</dt>
<dd>A pair of two probability values at which sample quantiles are estimated</dd>


<dt>k</dt>
<dd>A lag order</dd>


<dt>Bsize</dt>
<dd>The number of repetition of bootstrap</dd>


<dt>sigLev</dt>
<dd>The statistical significance level</dd>

</dl>

crossq.partial.sb.opt: Stationary Bootstrap for the Partial Cross-Quantilogram dwith the choice of the stationary-bootstrap parameter

Description

Usage

Value

Arguments

Author

Details

References