qdft2qper: Quantile Periodogram (QPER)

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

Quantile Periodogram (QPER)

Description

This function computes quantile periodogram (QPER) from QDFT.

Usage

qdft2qper(y.qdft)

Arguments

y.qdft

matrix or array of QDFT from qdft()

Value

matrix or array of quantile periodogram

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.qper <- qdft2qper(y.qdft)
n <- length(y1)
ff <- c(0:(n-1))/n
sel.f <- which(ff > 0 & ff < 0.5)
qfa.plot(ff[sel.f],tau,Re(y.qper[sel.f,]))
# 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.qper <- qdft2qper(y.qdft)
qfa.plot(ff[sel.f],tau,Re(y.qper[1,1,sel.f,]))
qfa.plot(ff[sel.f],tau,Re(y.qper[1,2,sel.f,]))

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