Methods to determine, smooth and plot quantile periodograms for univariate and (since v1.2-0) multivariate time series.
|License:||GPL (>= 2)|
The quantspec package contains a hierachy of S4 classes with corresponding methods and functions serving as constructors. The following class diagrams provide an overview on the structure of the package. In the first and second class diagram the classes implementing the estimators are shown. In the first diagram the classes related to periodogram-based estimation are displayed:
In the second diagram the classes related to lag window-based estimation are displayed:
In the third class diagram the classes implementing model quantities are
displayed. A relation to the “empirical classes” is given via the fact that
the quantile spectral densities are computed by simulation of quantile
periodograms and a common abstract superclass
is used to provide a common interface to quantile spectral quantities.
Besides the object-oriented design a few auxiliary functions exists. They serve as parameters or are mostly for internal use. A more detailed description of the framework can be found in the paper on the package (Kley, 2016).
All of the source code related to the specification of a certain class is
contained in a file named
Class-[Name_of_the_class].R. This includes,
in the following order,
@include to insure the correctly generated
collate for the DESCRIPTION file.
\setClass preceded by a meaningful roxygen documentation.
specification of an
initialize method, where appropriate.
all accessor and mutator method (i. e., getter and setter); first the ones returning attributes of the object, then the ones returning associated objects.
constructors; use generics if there is more than one of them.
To improve readability of the software and documentation this package was written in the spirit of the “Coding conventions of the Java Programming Language” (Oracle, 2015). In particular, the naming conventions for classes and methods have been adopted, where “Class names should be nouns, in mixed case with the first letter of each internal word capitalized.” and “Methods should be verbs, in mixed case with the first letter lowercase, with the first letter of each internal word capitalized.”
To reflect the structure of the contents of the package in the documentation file, the following system for naming of the sections is adopted:
Documentation of an S4 class is named as the name of the class
followed by “-class”. [cf.
Documentation of a constructor for an S4-class is named as
the name of the class followed by “-constructor”.
Documentation of a method dispaching to an object of a certain
S4 class is named by the name of the method, followed by “-”,
followed by the name of the Class.
Kley, T. (2014a). Quantile-Based Spectral Analysis: Asymptotic Theory and Computation. Ph.D. Dissertation, Ruhr University Bochum. https://hss-opus.ub.ruhr-uni-bochum.de/opus4/frontdoor/index/index/docId/3894.
Kley, T. (2016). Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package. Journal of Statistical Software, 70(3), 1–27.
Dette, H., Hallin, M., Kley, T. & Volgushev, S. (2015). Of Copulas, Quantiles, Ranks and Spectra: an L1-approach to spectral analysis. Bernoulli, 21(2), 781–831. [cf. http://arxiv.org/abs/1111.7205]
Kley, T., Volgushev, S., Dette, H. & Hallin, M. (2016). Quantile Spectral Processes: Asymptotic Analysis and Inference. Bernoulli, 22(3), 1770–1807. [cf. http://arxiv.org/abs/1401.8104]
Barunik, J. & Kley, T. (2019). Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. Econometrics Journal, 22, 131–152. [cf. http://arxiv.org/abs/1510.06946]
Oracle (2015). Coding conventions of the Java Programming Language. http://www.oracle.com/technetwork/java/codeconvtoc-136057.html. Accessed 2015-03-25.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.