qdft2qacf: Quantile Autocovariance Function (QACF)

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

Quantile Autocovariance Function (QACF)

Description

This function computes quantile autocovariance function (QACF) from QDFT.

Usage

qdft2qacf(y.qdft, return.qser = FALSE)

Arguments

y.qdft	matrix or array of QDFT from qdft()
return.qser	if TRUE, return quantile series (QSER) along with QACF

Value

matrix or array of quantile autocovariance function if return.sqer = FALSE (default), else a list with the following elements:

qacf	matirx or array of quantile autocovariance function
qser	matrix or array of quantile series

Examples

# single time series
y1 <- stats::arima.sim(list(order=c(1,0,0), ar=0.5), n=64)
tau <- seq(0.1,0.9,0.05)
y.qdft <- qdft(y1,tau)
y.qacf <- qdft2qacf(y.qdft)
plot(c(0:9),y.qacf[c(1:10),1],type='h',xlab="LAG",ylab="QACF")
y.qser <- qdft2qacf(y.qdft,return.qser=TRUE)$qser
plot(y.qser[,1],type='l',xlab="TIME",ylab="QSER")
# multiple time series
y2 <- stats::arima.sim(list(order=c(1,0,0), ar=-0.5), n=64)
y.qdft <- qdft(cbind(y1,y2),tau)
y.qacf <- qdft2qacf(y.qdft)
plot(c(0:9),y.qacf[1,2,c(1:10),1],type='h',xlab="LAG",ylab="QACF")

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