Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: The quantspec package
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Date
2014-06-16
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Abstract
Quantile-based approaches to the spectral analysis of time series have recently attracted
a lot of attention. Despite a growing literature that contains various estimation
proposals, no systematic methods for computing the new estimators are available to date.
This paper contains two main contributions. First, an extensible framework for quantilebased
spectral analysis of time series is developed and documented using object-oriented
models. A comprehensive, open source, reference implementation of this framework, the
R package quantspec, was recently contributed to CRAN by the author of this paper. The
second contribution of the present paper is to provide a detailed tutorial, with worked
examples, to this R package. A reader who is already familiar with quantile-based spectral
analysis and whose primary interest is not the design of the quantspec package, but how
to use it, can read the tutorial and worked examples (Sections 3 and 4) independently.
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Keywords
time series, object-oriented design, framework, quantspec, R, ranks, copulas, quantile regression, periodogram, spectral analysis