The parameter type.boot can be set to choose a block bootstrapping procedure. If "none" is chosen, a moving blocks bootstrap with l=length(Y) and N=length(Y) would be done. Note that in that case one would also chose B=0 which means that getPositions
would never be called. If B>0 then each bootstrap replication would be the undisturbed time series.
quantilePG( Y, frequencies =2* pi/lenTS(Y)*0:(lenTS(Y)-1), levels.1=0.5, levels.2= levels.1, isRankBased =TRUE, type = c("clipped","qr"), type.boot = c("none","mbb"), B =0, l =0, method = c("br","fn","pfn","fnc","lasso","scad"), parallel =FALSE)
Arguments
Y: A vector of real numbers containing the time series from which to determine the quantile periodogram or a ts object or a zoo object.
frequencies: A vector containing frequencies at which to determine the quantile periodogram.
levels.1: A vector of length K1 containing the levels x1
at which the QuantilePG is to be determined.
levels.2: A vector of length K2 containing the levels x2.
isRankBased: If true the time series is first transformed to pseudo data [cf. FreqRep].
type: A flag to choose the type of the estimator. Can be either "clipped" or "qr". In the first case ClippedFT is used as a frequency representation, in the second case QRegEstimator is used.
type.boot: A flag to choose a method for the block bootstrap; currently two options are implemented: "none" and "mbb"
which means to do a moving blocks bootstrap with B
and l as specified.
B: number of bootstrap replications
l: (expected) length of blocks
method: method used for computing the quantile regression estimates. The choice is passed to qr; see the documentation of quantreg for details.
parallel: a flag to allow performing parallel computations, where possible.