quantspec: Quantile-Based Spectral Analysis of Time Series

Methods to determine, smooth and plot quantile periodograms for univariate and multivariate time series.

AuthorTobias Kley [aut, cre], Stefan Birr [ctb] (Contributions to lag window estimation)
Date of publication2016-03-28 00:27:55
MaintainerTobias Kley <t.kley@lse.ac.uk>
LicenseGPL (>= 2)
Version1.2-1
http://github.com/tobiaskley/quantspec

View on CRAN

Man pages

BootPos-class: Class for Generation of Bootstrapped Replications of a Time...

ClippedCov-class: Class to calculate copula covariances from a time series with...

ClippedCov-constructor: Create an instance of the 'ClippedCov' class.

ClippedFT-class: Class for Fourier transform of the clipped time series.

ClippedFT-constructor: Create an instance of the 'ClippedFT' class.

closest.pos: Positions of elements which are closest to some reference...

data-sp500: S&P 500: Standard and Poor's 500 stock index, 2007-2010

data-wheatprices: Beveridge's Wheat Price Index (detrended and demeaned),...

FreqRep-class: Class for Frequency Representation.

frequenciesValidator: Validates if frequencies are Fourier frequencies from [0,pi].

generics-accessors: Generic functions for accessing attributes of objects

generics-associations: Generic functions for accessing associations of objects

generics-functions: Generic functions for implementation of methods of a class

getB-FreqRep: Get 'B' from a 'FreqRep' object.

getB-LagOperator: Get 'B' from a 'LagOperator' object.

getBootPos-FreqRep: Get associated 'BootPos' from a 'FreqRep'.

getBootPos-LagOperator: Get associated 'BootPos' from a 'LagOperator'.

getBw-KernelWeight: Get attribute 'bw' (bandwidth / scaling parameter used for...

getBw-LagKernelWeight: Get attribute 'bw' (bandwidth / scaling parameter used for...

getCoherency-QuantileSD: Compute quantile coherency from a quantile spectral density...

getCoherencySdNaive-SmoothedPG: Get estimates for the standard deviation of the coherency...

getCoherency-SmoothedPG: Compute quantile coherency from a smoothed quantile...

getDescr-Weight: Get attribute 'descr' from a 'Weight'.

getFreqRep-QuantilePG: Get associated 'FreqRep' from a 'QuantilePG'.

getFrequencies-FreqRep: Get attribute 'frequencies' from a 'FreqRep'.

getFrequencies-QSpecQuantity: Get attribute 'frequencies' from a 'QSpecQuantity'.

getIsRankBased-FreqRep: Get 'isRankBased' from a 'FreqRep' object

getIsRankBased-LagOperator: Get 'isRankBased' from a 'LagOperator' object

getLagOperator-LagEstimator: Get associated 'LagOperator' from a 'LagEstimator'.

getLevels-FreqRep: Get attribute 'levels' from a 'FreqRep'.

getLevels-LagOperator: Get attribute 'levels' from a 'LagOperator'.

getLevels-QSpecQuantity: Get attribute 'levels' from a 'QSpecQuantity'.

getMaxLag-LagOperator: Get 'maxLag' from a 'LagOperator' object.

getMeanPG-QuantileSD: Get 'meanPG' from a quantile spectral density kernel

getN-QuantileSD: Get 'N' from a quantile spectral density kernel

getParallel-QRegEstimator: Get 'getParallel' from a 'QRegEstimator' object

getPointwiseCIs-LagEstimator: Get pointwise confidence intervals for the quantile spectral...

getPointwiseCIs-SmoothedPG: Get pointwise confidence intervals for the quantile spectral...

getPositions-MovingBlocks: Get Positions for the Moving Blocks Bootstrap.

getQuantilePG-QuantileSD: Get associated 'QuantilePG' from a 'QuantileSD'.

getQuantilePG-SmoothedPG: Get associated 'QuantilePG' from a 'SmoothedPG'.

getQuantileSD-IntegrQuantileSD: Get associated 'getQuantileSD' from an 'IntegrQuantileSD'.

getR-QuantileSD: Get 'R' from a quantile spectral density kernel

getSdBoot-LagEstimator: Get bootstrap estimates for the standard deviation of the...

getSdBoot-SmoothedPG: Get bootstrap estimates for the standard deviation of the...

getSdNaive-LagEstimator: Get estimates for the standard deviation of the lagEstimator...

getSdNaive-SmoothedPG: Get estimates for the standard deviation of the smoothed...

getStdError-QuantileSD: Get 'stdError' from a quantile spectral density kernel

getTs-QuantileSD: Get 'ts' from a quantile spectral density kernel

getType-QuantileSD: Get 'type' from a quantile spectral density kernel

getValues-FreqRep: Get values from a frequency representation.

getValues-IntegrQuantileSD: Get values from a simulated integrated quantile spectral...

getValues-KernelWeight: Get values from a weight object determined by a kernel...

getValues-LagEstimator: Get values from a lag-window type estimator.

getValues-LagKernelWeight: Get values from a weight object determined by a kernel...

getValues-LagOperator: Get attribute 'values' from a 'LagOperator'.

getValues-QuantilePG: Get values from a quantile periodogram.

getValues-QuantileSD: Get values from a quantile spectral density kernel

getValues-SmoothedPG: Get values from a smoothed quantile periodogram.

getValues-SpecDistrWeight: Get values from a weight object of type 'SpecDistrWeight'

getWeight-LagEstimator: Get associated 'Weight' from a 'LagEstimator'.

getWeight-SmoothedPG: Get associated 'Weight' from a 'SmoothedPG'.

getW-KernelWeight: Get attribute 'W' (kernel used for smoothing) from a...

getW-LagKernelWeight: Get attribute 'W' (kernel used for smoothing) from a...

getWnj-KernelWeight: Get attribute 'Wnj' from a 'QSpecQuantity'.

getY-FreqRep: Get 'Y' from a 'FreqRep' object.

increasePrecision-QuantileSD: Increase the precision of a 'QuantileSD'

IntegrQuantileSD-class: Class for a simulated integrated quantile (i. e., Laplace or...

IntegrQuantileSD-constructor: Create an instance of the 'IntegrQuantileSD' class.

is.wholenumber: Checks whether 'x' contains integer numbers.

kernels: Kernel function.

KernelWeight-class: Class for Brillinger-type Kernel weights.

KernelWeight-constructor: Create an instance of the 'KernelWeight' class.

LagEstimator-class: Class for a lag-window type estimator.

LagEstimator-constructor: Create an instance of the 'LagEstimator' class.

LagKernelWeight-class: Class for lag window generators

LagKernelWeight-constructor: Create an instance of the 'LagKernelWeight' class.

LagOperator-class: Interface Class to access different types of operators on...

lenTS: Validates if 'Y' is of an appropriate type for a time series...

MovingBlocks-class: Class for Moving Blocks Bootstrap implementation.

MovingBlocks-constructor: Create an instance of the 'MovingBlocks' class.

plot-FreqRep: Plot the values of the 'FreqRep'.

plot-IntegrQuantileSD: Plot the values of the 'IntegrQuantileSD'.

plot-KernelWeight: Plot the values of the 'KernelWeight'.

plot-LagEstimator: Plot the values of a 'LagEstimator'.

plot-LagKernelWeight: Plot the values of the 'LagKernelWeight'.

plot-LagOperator: Plot the values of the 'LagOperator'.

plot-QuantilePG: Plot the values of the 'QuantilePG'.

plot-QuantileSD: Plot the values of the 'QuantileSD'.

plot-SmoothedPG: Plot the values of a 'SmoothedPG'.

plot-SpecDistrWeight: Plot the values of the 'SpecDistrWeight'.

QRegEstimator-class: Class for quantile regression-based estimates in the harmonic...

QRegEstimator-constructor: Create an instance of the 'QRegEstimator' class.

QSpecQuantity-class: Class for a Quantile Spectral Estimator.

QuantilePG-class: Class for a quantile (i. e., Laplace or copula) periodogram.

QuantilePG-constructor: Create an instance of the 'QuantilePG' class.

QuantileSD-class: Class for a simulated quantile (i. e., Laplace or copula)...

QuantileSD-constructor: Create an instance of the 'QuantileSD' class.

quantspec-defunct: Defunct functions in package quantspec

quantspec-package: Quantile-Based Spectral Analysis of Time Series

SmoothedPG-class: Class for a smoothed quantile periodogram.

SmoothedPG-constructor: Create an instance of the 'SmoothedPG' class.

SpecDistrWeight-class: Class for weights to estimate integrated spectral density...

SpecDistrWeight-constructor: Create an instance of the 'SpecDistrWeight' class.

timeSeriesValidator: Validates if 'Y' is of an appropriate type and converts to a...

ts-models: Functions to simulate from the time series models in Kley et....

ts-models-AR1: Simulation of an AR(1) time series.

ts-models-AR2: Simulation of an AR(2) time series.

ts-models-ARCH1: Simulation of an ARCH(1) time series.

ts-models-QAR1: Simulation of an QAR(1) time series.

Weight-class: Interface Class to access different types of weighting...

Files in this package

quantspec
quantspec/inst
quantspec/inst/examples
quantspec/inst/examples/QRegEstimator-parallel.R
quantspec/inst/examples/SmoothedPG-SpecDistr.R
quantspec/inst/examples/QuantilePG.R
quantspec/inst/examples/SmoothedPG-Kernel.R
quantspec/inst/examples/QuantileSD.R
quantspec/inst/examples/FreqRep.R
quantspec/inst/CITATION
quantspec/inst/extdata
quantspec/inst/extdata/ref-results.rdata
quantspec/inst/doc
quantspec/inst/doc/quantspec.pdf
quantspec/inst/doc/quantspec.R
quantspec/inst/doc/quantspec.Rnw
quantspec/tests
quantspec/tests/testthat.R
quantspec/tests/testthat
quantspec/tests/testthat/test-ClippedFT.R
quantspec/tests/testthat/test-ClippedCov.R
quantspec/tests/testthat/test-LagEstimator.R
quantspec/tests/testthat/test-multivariate.R
quantspec/tests/testthat/load-ref.R
quantspec/tests/testthat/test-SmoothedPG.R
quantspec/tests/testthat/test-QuantilePG.R
quantspec/tests/testthat/test-frequencyValidator.R
quantspec/tests/test-all.R
quantspec/src
quantspec/src/RcppExports.cpp
quantspec/src/computeSdNaive.cpp
quantspec/src/computeCoherency.cpp
quantspec/NAMESPACE
quantspec/demo
quantspec/demo/qar-simulation.R
quantspec/demo/sp500.R
quantspec/demo/00Index
quantspec/demo/wheatprices.R
quantspec/NEWS
quantspec/data
quantspec/data/sp500.rdata
quantspec/data/datalist
quantspec/data/wheatprices.rdata
quantspec/R
quantspec/R/aux-functions.R quantspec/R/Class-LagOperator.R quantspec/R/Class-QRegEstimator.R quantspec/R/Class-QSpecQuantity.R quantspec/R/models.R quantspec/R/Class-SmoothedPG.R quantspec/R/Class-ClippedFT.R quantspec/R/Class-FreqRep.R quantspec/R/Class-BootPos.R quantspec/R/Class-LagEstimator.R quantspec/R/generics.R quantspec/R/Class-QuantileSD.R quantspec/R/Class-MovingBlocks.R quantspec/R/data.R quantspec/R/Class-IntegrQuantileSD.R quantspec/R/Class-QuantilePG.R quantspec/R/Class-LagKernelWeight.R quantspec/R/RcppExports.R quantspec/R/deprecated.R quantspec/R/kernels.R quantspec/R/Class-KernelWeight.R quantspec/R/Class-ClippedCov.R quantspec/R/Class-Weight.R quantspec/R/Class-SpecDistrWeight.R quantspec/R/quantspec-package.R
quantspec/vignettes
quantspec/vignettes/quantspec-csd-hp.pdf
quantspec/vignettes/quantspec.Rnw
quantspec/vignettes/quantspec-refs.bib
quantspec/MD5
quantspec/build
quantspec/build/vignette.rds
quantspec/DESCRIPTION
quantspec/man
quantspec/man/QuantileSD-constructor.Rd quantspec/man/getW-LagKernelWeight.Rd quantspec/man/getSdBoot-LagEstimator.Rd quantspec/man/getSdNaive-SmoothedPG.Rd quantspec/man/closest.pos.Rd quantspec/man/kernels.Rd quantspec/man/frequenciesValidator.Rd quantspec/man/QRegEstimator-constructor.Rd
quantspec/man/figures
quantspec/man/figures/main-mv.pdf
quantspec/man/figures/csd-mv.pdf
quantspec/man/figures/csd-mv.png
quantspec/man/figures/main2.png
quantspec/man/figures/main.png
quantspec/man/figures/csd.png
quantspec/man/figures/main2-mv.pdf
quantspec/man/figures/main2-mv.png
quantspec/man/figures/main.pdf
quantspec/man/figures/csd.pdf
quantspec/man/figures/main-mv.png
quantspec/man/figures/main2.pdf
quantspec/man/getN-QuantileSD.Rd quantspec/man/getCoherencySdNaive-SmoothedPG.Rd quantspec/man/getQuantileSD-IntegrQuantileSD.Rd quantspec/man/plot-IntegrQuantileSD.Rd quantspec/man/QuantilePG-class.Rd quantspec/man/LagKernelWeight-class.Rd quantspec/man/getLagOperator-LagEstimator.Rd quantspec/man/getValues-IntegrQuantileSD.Rd quantspec/man/getR-QuantileSD.Rd quantspec/man/getBw-KernelWeight.Rd quantspec/man/getWeight-SmoothedPG.Rd quantspec/man/getCoherency-SmoothedPG.Rd quantspec/man/getWnj-KernelWeight.Rd quantspec/man/plot-QuantileSD.Rd quantspec/man/plot-FreqRep.Rd quantspec/man/ts-models-QAR1.Rd quantspec/man/getY-FreqRep.Rd quantspec/man/getLevels-QSpecQuantity.Rd quantspec/man/getValues-LagOperator.Rd quantspec/man/getBootPos-LagOperator.Rd quantspec/man/getLevels-FreqRep.Rd quantspec/man/getBootPos-FreqRep.Rd quantspec/man/generics-associations.Rd quantspec/man/getType-QuantileSD.Rd quantspec/man/getValues-QuantilePG.Rd quantspec/man/getFrequencies-FreqRep.Rd quantspec/man/getQuantilePG-SmoothedPG.Rd quantspec/man/LagEstimator-constructor.Rd quantspec/man/is.wholenumber.Rd quantspec/man/LagKernelWeight-constructor.Rd quantspec/man/LagEstimator-class.Rd quantspec/man/getValues-KernelWeight.Rd quantspec/man/LagOperator-class.Rd quantspec/man/getFrequencies-QSpecQuantity.Rd quantspec/man/QuantileSD-class.Rd quantspec/man/getWeight-LagEstimator.Rd quantspec/man/quantspec-defunct.Rd quantspec/man/IntegrQuantileSD-constructor.Rd quantspec/man/getB-FreqRep.Rd quantspec/man/getDescr-Weight.Rd quantspec/man/getValues-LagEstimator.Rd quantspec/man/ClippedFT-class.Rd quantspec/man/getPositions-MovingBlocks.Rd quantspec/man/plot-QuantilePG.Rd quantspec/man/getValues-QuantileSD.Rd quantspec/man/getValues-SmoothedPG.Rd quantspec/man/generics-accessors.Rd quantspec/man/ts-models-ARCH1.Rd quantspec/man/plot-LagKernelWeight.Rd quantspec/man/getValues-FreqRep.Rd quantspec/man/data-sp500.Rd quantspec/man/getFreqRep-QuantilePG.Rd quantspec/man/SpecDistrWeight-constructor.Rd quantspec/man/getSdBoot-SmoothedPG.Rd quantspec/man/ClippedCov-class.Rd quantspec/man/SmoothedPG-constructor.Rd quantspec/man/plot-LagOperator.Rd quantspec/man/getValues-LagKernelWeight.Rd quantspec/man/SmoothedPG-class.Rd quantspec/man/plot-SmoothedPG.Rd quantspec/man/getSdNaive-LagEstimator.Rd quantspec/man/SpecDistrWeight-class.Rd quantspec/man/quantspec-package.Rd quantspec/man/getQuantilePG-QuantileSD.Rd quantspec/man/BootPos-class.Rd quantspec/man/FreqRep-class.Rd quantspec/man/getB-LagOperator.Rd quantspec/man/getPointwiseCIs-LagEstimator.Rd quantspec/man/getMeanPG-QuantileSD.Rd quantspec/man/getIsRankBased-FreqRep.Rd quantspec/man/getStdError-QuantileSD.Rd quantspec/man/getBw-LagKernelWeight.Rd quantspec/man/KernelWeight-class.Rd quantspec/man/getIsRankBased-LagOperator.Rd quantspec/man/getMaxLag-LagOperator.Rd quantspec/man/getPointwiseCIs-SmoothedPG.Rd quantspec/man/timeSeriesValidator.Rd quantspec/man/getValues-SpecDistrWeight.Rd quantspec/man/getParallel-QRegEstimator.Rd quantspec/man/QRegEstimator-class.Rd quantspec/man/increasePrecision-QuantileSD.Rd quantspec/man/plot-SpecDistrWeight.Rd quantspec/man/QSpecQuantity-class.Rd quantspec/man/data-wheatprices.Rd quantspec/man/ts-models-AR1.Rd quantspec/man/MovingBlocks-class.Rd quantspec/man/MovingBlocks-constructor.Rd quantspec/man/ClippedCov-constructor.Rd quantspec/man/lenTS.Rd quantspec/man/getW-KernelWeight.Rd quantspec/man/IntegrQuantileSD-class.Rd quantspec/man/getTs-QuantileSD.Rd quantspec/man/ts-models-AR2.Rd quantspec/man/KernelWeight-constructor.Rd quantspec/man/QuantilePG-constructor.Rd quantspec/man/plot-LagEstimator.Rd quantspec/man/getLevels-LagOperator.Rd quantspec/man/ts-models.Rd quantspec/man/getCoherency-QuantileSD.Rd quantspec/man/generics-functions.Rd quantspec/man/plot-KernelWeight.Rd quantspec/man/Weight-class.Rd quantspec/man/ClippedFT-constructor.Rd

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