qkl.divergence: Kullback-Leibler Divergence of Quantile Spectral Estimate

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

Kullback-Leibler Divergence of Quantile Spectral Estimate

Description

This function computes Kullback-Leibler divergence (KLD) of quantile spectral estimate.

Usage

qkl.divergence(y.qper, qspec, sel.f = NULL, sel.tau = NULL)

Arguments

y.qper	matrix or array of quantile spectral estimate from, e.g., qspec.lw()
qspec	matrix of array of true quantile spectrum (same dimension as y.qper)
sel.f	index of selected frequencies for computation (default = NULL: all frequencies)
sel.tau	index of selected quantile levels for computation (default = NULL: all quantile levels)

Value

real number of Kullback-Leibler divergence

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