wqc (version 0.1.2)

apply_quantile_correlation: Apply Quantile Correlation Analysis

Description

Apply Quantile Correlation Analysis

Usage

apply_quantile_correlation(data, quantiles, wf = "la8", J = 8, n_sim = 1000)

Value

A combined data.frame of quantile correlation results, with one row per level-quantile-series combination.

Arguments

data

Data frame containing the time series data. The first column is the reference series; subsequent columns are the target series.

quantiles

Numeric vector of quantiles.

wf

Wavelet family name.

J

Decomposition level.

n_sim

Number of simulations for confidence intervals.

Examples

data <- data.frame(x = rnorm(1000), y = rnorm(1000), z = rnorm(1000))
quantiles <- c(0.05, 0.5, 0.95)
res_df <- apply_quantile_correlation(data, quantiles,n_sim=10)
head(res_df)