QuantilePG-constructor function

Create an instance of the QuantilePG class.

Create an instance of the QuantilePG class.

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.

Returns

Returns an instance of QuantilePG.

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