qcser: Quantile-Crossing Series (QCSER)

In qfa: Quantile-Frequency Analysis (QFA) of Time Series

Quantile-Crossing Series (QCSER)

Description

This function creates the quantile-crossing series (QCSER) for univariate or multivariate time series.

Usage

qcser(y, tau, normalize = FALSE)

Arguments

y	vector or matrix of time series
tau	sequence of quantile levels in (0,1)
normalize	TRUE or FALSE (default): normalize QCSER to have unit variance

Value

A matrix or array of quantile-crossing series

Examples

y <- stats::arima.sim(list(order=c(1,0,0), ar=0.5), n=64)
tau <- seq(0.1,0.9,0.05)
y.qser <- qcser(y,tau)
dim(y.qser)

qfa documentation built on April 11, 2025, 5:49 p.m.