quantspec1.2-4 package

Quantile-Based Spectral Analysis of Time Series

timeSeriesValidator

Validates if Y is of an appropriate type and converts to a numeric.

Weight-class

Interface Class to access different types of weighting functions.

getY-FreqRep

Get Y from a FreqRep object.

plot-LagEstimator

Plot the values of a LagEstimator.

plot-LagKernelWeight

Plot the values of the LagKernelWeight.

plot-LagOperator

Plot the values of the LagOperator.

plot-QuantilePG

Plot the values of the QuantilePG.

plot-QuantileSD

Plot the values of the QuantileSD.

plot-SmoothedPG

Plot the values of a SmoothedPG.

getBw-LagKernelWeight

Get attribute bw (bandwidth / scaling parameter used for smoothing) ...

BootPos-class

Class for Generation of Bootstrapped Replications of a Time Series.

ClippedCov-class

Class to calculate copula covariances from a time series with given le...

ClippedCov-constructor

Create an instance of the ClippedCov class.

ClippedFT-class

Class for Fourier transform of the clipped time series.

ClippedFT-constructor

Create an instance of the ClippedFT class.

closest.pos

Positions of elements which are closest to some reference elements.

data-sp500

S&P 500: Standard and Poor's 500 stock index, 2007--2010

data-wheatprices

Beveridge's Wheat Price Index (detrended and demeaned), 1500--1869

dot-computeCoherency

Workhorse function for getCoherency-SmoothedPG.

dot-computeSdNaive

Workhorse function for getSdNaive-SmoothedPG.

FreqRep-class

Class for Frequency Representation.

getLevels-LagOperator

Get attribute levels from a LagOperator.

getLevels-QSpecQuantity

Get attribute levels from a QSpecQuantity.

frequenciesValidator

Validates if frequencies are Fourier frequencies from [0,pi][0,pi].

generics-accessors

Generic functions for accessing attributes of objects

generics-associations

Generic functions for accessing associations of objects

generics-functions

Generic functions for implementation of methods of a class

getB-FreqRep

Get B from a FreqRep object.

getB-LagOperator

Get B from a LagOperator object.

getBootPos-FreqRep

Get associated BootPos from a FreqRep.

getBootPos-LagOperator

Get associated BootPos from a LagOperator.

getBw-KernelWeight

Get attribute bw (bandwidth / scaling parameter used for smoothing) ...

getMaxLag-LagOperator

Get maxLag from a LagOperator object.

getCoherency-QuantileSD

Compute quantile coherency from a quantile spectral density kernel

getCoherency-SmoothedPG

Compute quantile coherency from a smoothed quantile periodogram.

getCoherencySdNaive-SmoothedPG

Get estimates for the standard deviation of the coherency computed fro...

getDescr-Weight

Get attribute descr from a Weight.

getFreqRep-QuantilePG

Get associated FreqRep from a QuantilePG.

getFrequencies-FreqRep

Get attribute frequencies from a FreqRep.

getFrequencies-QSpecQuantity

Get attribute frequencies from a QSpecQuantity.

getIsRankBased-FreqRep

Get isRankBased from a FreqRep object

getIsRankBased-LagOperator

Get isRankBased from a LagOperator object

getLagOperator-LagEstimator

Get associated LagOperator from a LagEstimator.

getLevels-FreqRep

Get attribute levels from a FreqRep.

getMeanPG-QuantileSD

Get meanPG from a quantile spectral density kernel

getN-QuantileSD

Get N from a quantile spectral density kernel

getParallel-QRegEstimator

Get getParallel from a QRegEstimator object

getPointwiseCIs-LagEstimator

Get pointwise confidence intervals for the quantile spectral density k...

getPointwiseCIs-SmoothedPG

Get pointwise confidence intervals for the quantile spectral density k...

getPositions-MovingBlocks

Get Positions for the Moving Blocks Bootstrap.

getQuantilePG-QuantileSD

Get associated QuantilePG from a QuantileSD.

getQuantilePG-SmoothedPG

Get associated QuantilePG from a SmoothedPG.

getQuantileSD-IntegrQuantileSD

Get associated getQuantileSD from an IntegrQuantileSD.

getR-QuantileSD

Get R from a quantile spectral density kernel

getType-QuantileSD

Get type from a quantile spectral density kernel

getWnj-KernelWeight

Get attribute Wnj from a QSpecQuantity.

getSdBoot-LagEstimator

Get bootstrap estimates for the standard deviation of the lag-window t...

getSdBoot-SmoothedPG

Get bootstrap estimates for the standard deviation of the smoothed qua...

getSdNaive-LagEstimator

Get estimates for the standard deviation of the lagEstimator derived f...

getSdNaive-SmoothedPG

Get estimates for the standard deviation of the smoothed quantile peri...

getStdError-QuantileSD

Get stdError from a quantile spectral density kernel

getTs-QuantileSD

Get ts from a quantile spectral density kernel

getValues-FreqRep

Get values from a frequency representation.

getValues-IntegrQuantileSD

Get values from a simulated integrated quantile spectral density kerne...

getValues-KernelWeight

Get values from a weight object determined by a kernel function W an...

getValues-LagEstimator

Get values from a lag-window type estimator.

getValues-LagKernelWeight

Get values from a weight object determined by a kernel function W an...

getValues-LagOperator

Get attribute values from a LagOperator.

getValues-QuantilePG

Get values from a quantile periodogram.

getValues-QuantileSD

Get values from a quantile spectral density kernel

getValues-SmoothedPG

Get values from a smoothed quantile periodogram.

getValues-SpecDistrWeight

Get values from a weight object of type SpecDistrWeight

getW-KernelWeight

Get attribute W (kernel used for smoothing) from a KernelWeight.

getW-LagKernelWeight

Get attribute W (kernel used for smoothing) from a LagKernelWeight...

getWeight-LagEstimator

Get associated Weight from a LagEstimator.

getWeight-SmoothedPG

Get associated Weight from a SmoothedPG.

increasePrecision-QuantileSD

Increase the precision of a QuantileSD

IntegrQuantileSD-class

Class for a simulated integrated quantile (i. e., Laplace or copula) d...

IntegrQuantileSD-constructor

Create an instance of the IntegrQuantileSD class.

is.wholenumber

Checks whether x contains integer numbers.

kernels

Kernel function.

SpecDistrWeight-class

Class for weights to estimate integrated spectral density kernels.

KernelWeight-class

Class for Brillinger-type Kernel weights.

KernelWeight-constructor

Create an instance of the KernelWeight class.

LagEstimator-class

Class for a lag-window type estimator.

LagEstimator-constructor

Create an instance of the LagEstimator class.

LagKernelWeight-class

Class for lag window generators

LagKernelWeight-constructor

Create an instance of the LagKernelWeight class.

LagOperator-class

Interface Class to access different types of operators on time series.

lenTS

Validates if Y is of an appropriate type for a time series and retur...

MovingBlocks-class

Class for Moving Blocks Bootstrap implementation.

MovingBlocks-constructor

Create an instance of the MovingBlocks class.

plot-FreqRep

Plot the values of the FreqRep.

plot-IntegrQuantileSD

Plot the values of the IntegrQuantileSD.

plot-KernelWeight

Plot the values of the KernelWeight.

plot-SpecDistrWeight

Plot the values of the SpecDistrWeight.

QRegEstimator-class

Class for quantile regression-based estimates in the harmonic linear m...

QRegEstimator-constructor

Create an instance of the QRegEstimator class.

QSpecQuantity-class

Class for a Quantile Spectral Estimator.

QuantilePG-class

Class for a quantile (i. e., Laplace or copula) periodogram.

SpecDistrWeight-constructor

Create an instance of the SpecDistrWeight class.

QuantilePG-constructor

Create an instance of the QuantilePG class.

QuantileSD-class

Class for a simulated quantile (i. e., Laplace or copula) density kern...

QuantileSD-constructor

Create an instance of the QuantileSD class.

quantspec-defunct

Defunct functions in package quantspec

quantspec-package

Quantile-Based Spectral Analysis of Time Series

SmoothedPG-class

Class for a smoothed quantile periodogram.

SmoothedPG-constructor

Create an instance of the SmoothedPG class.

ts-models-AR1

Simulation of an AR(1) time series.

ts-models-AR2

Simulation of an AR(2) time series.

ts-models-ARCH1

Simulation of an ARCH(1) time series.

ts-models-QAR1

Simulation of an QAR(1) time series.

ts-models

Functions to simulate from the time series models in Kley et. al (2016...

Methods to determine, smooth and plot quantile periodograms for univariate and multivariate time series. See Kley (2016) <doi:10.18637/jss.v070.i03> for a description and tutorial.

  • Maintainer: Tobias Kley
  • License: GPL (>= 2)
  • Last published: 2024-07-11