edqplot: Plot the Observed Time Series and Selected EDQs (Empirical...

In SLBDD: Statistical Learning for Big Dependent Data

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

Description

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

Usage

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".

Value

The observed time series plot with the selected EDQs.

References

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

Examples

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

SLBDD documentation built on April 27, 2022, 5:08 p.m.