edqplot function

Plot the Observed Time Series and Selected EDQs (Empirical Dynamic Quantiles)

Plot the observed time series and selected empirical dynamic quantiles (EDQs) computed as in Peña, Tsay and Zamar (2019).

edqplot(
  x,
  prob = c(0.05, 0.5, 0.95),
  h = 30,
  loc = NULL,
  color = c("yellow", "red", "green")
)

Arguments

• x: T by k data matrix: T data points in rows with each row being data at a given time point, and k time series in columns.
• prob: Probability, the quantile series of which is to be computed. Default values are 0.05, 0.5, 0.95.
• h: Number of time series used in the algorithm. Default value is 30.
• loc: Locations of the EDQ. If loc is not null, then prob is not used.
• color: Colors for plotting the EDQ. Default is "yellow", "red", and "green".

Returns

The observed time series plot with the selected EDQs.

Examples

data(TaiwanAirBox032017)
edqplot(TaiwanAirBox032017[1:100,1:25])

References

Peña, D. Tsay, R. and Zamar, R. (2019). Empirical Dynamic Quantiles for Visualization of High-Dimensional Time Series, Technometrics, 61:4, 429-444.