R/crossq.partial.R

In quantilogram: Cross-Quantilogram

##' Returns the partial cross-quantilogram 
##'
##' This function obtains the partial corss-quantilogram and the cross-quantilogram.
##' To obtain the partial cross-correlation given an input matrix, this function interacts
##' the values of the first column and the k-lagged values of the rest of the matrix.
##' @title Paritial Cross-Quantilogram
##' @param DATA A matrix 
##' @param vecA A vector of probability values at which sample quantiles are estiamted 
##' @param k    The lag order 
##' @return The partial corss-quantilogram and the cross-quantilogram
##' @references
##' Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016).
##' "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." \emph{Journal of Econometrics}, 193(1), 251-270.
##'
##' @examples
##' ## data source 
##' data("sys.risk") 
##'
##' ## data with 3 variables 
##' D = sys.risk[,c("Market", "JPM", "VIX")]
##'
##' ## probablity levels for the 3 variables 
##' vecA = c(0.1, 0.1, 0.1)
##'
##' ## partial cross-quantilogram with the lag of 5
##' crossq.max.partial(D, vecA, 5)
##' 
##' @author Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
##' @export

crossq.partial = function(DATA, vecA, k)
{
    ## Important idea: make hit first
    ## Quantile Hit process with demean
    matH = q.hit(DATA, vecA)
    
    ## cross-quantilogram of lag order k
    RES = corr.lag.partial(matH, k)

    ## return
    list(CRQ = RES$CRQ, ParCRQ = RES$ParCRQ)

}  ## EoF