qser2sar: Spline Autoregression (SAR) Model of Quantile Series

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

Spline Autoregression (SAR) Model of Quantile Series

Description

This function fits spline autoregression (SAR) model to quantile series (QSER).

Usage

qser2sar(
  y.qser,
  tau,
  d = 1,
  p = NULL,
  order.max = NULL,
  spar = NULL,
  method = c("GCV", "AIC", "BIC"),
  weighted = FALSE
)

Arguments

y.qser	matrix or array of pre-calculated QSER, e.g., using qser()
tau	sequence of quantile levels where y.qser is calculated
d	subsampling rate of quantile levels (default = 1)
p	order of SAR model (default = NULL: automatically selected by AIC)
order.max	maximum order for AIC if p = NULL (default = NULL: determined by stats::ar())
spar	penalty parameter alla smooth.spline (default = NULL: automatically selected)
method	criterion for penalty parameter selection: "AIC" (default), "BIC", or "GCV"
weighted	if TRUE, penalty function is weighted (default = FALSE)

Value

a list with the following elements:

A	matrix or array of SAR coefficients
V	vector or matrix of SAR residual covariance
p	order of SAR model
spar	penalty parameter
tau	sequence of quantile levels
n	length of time series
d	subsampling rate of quantile levels
weighted	option for weighted penalty function
fit	object containing details of SAR fit

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