quantspec: Quantile-Based Spectral Analysis of Time Series

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

Author
Tobias Kley [aut, cre], Stefan Birr [ctb] (Contributions to lag window estimation)
Date of publication
2016-03-28 00:27:55
Maintainer
Tobias Kley <t.kley@lse.ac.uk>
License
GPL (>= 2)
Version
1.2-1
URLs

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