R: Quantile-Based Spectral Analysis of Time Series

# Quantile-Based Spectral Analysis of Time Series

## Documentation for package ‘quantspec’ version 1.2-4

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Code demos. Use demo() to run them.
- Package NEWS

## Help Pages

A B C D F G I K L M P Q S T W misc

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

## -- A --

AR1 | Simulation of an AR(1) time series.
AR2 | Simulation of an AR(2) time series.
ARCH1 | Simulation of an ARCH(1) time series.

## -- B --

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

## -- C --

ClippedCov | Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k<maxLag the copula covariances Cov(Ind{X0<tau1},Ind{Xk<tau2}) and writes it to 'values[k]' from its superclass 'LagOperator'.
clippedCov | Create an instance of the 'ClippedCov' class.
ClippedCov-class | Class to calculate copula covariances from a time series with given levels. Calculates for each combination of levels (tau1,tau2) and for all k<maxLag the copula covariances Cov(Ind{X0<tau1},Ind{Xk<tau2}) and writes it to 'values[k]' from its superclass 'LagOperator'.
ClippedCov-constructor | Create an instance of the 'ClippedCov' class.
ClippedFT | Class for Fourier transform of the clipped time series.
clippedFT | Create an instance of the 'ClippedFT' 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 elements.
ct | Defunct functions in package quantspec

## -- D --

data-sp500 | S&P 500: Standard and Poor's 500 stock index, 2007-2010
data-wheatprices | Beveridge's Wheat Price Index (detrended and demeaned), 1500-1869

## -- F --

FreqRep | Class for Frequency Representation.
FreqRep-class | Class for Frequency Representation.
frequenciesValidator | Validates if frequencies are Fourier frequencies from [0,pi].

## -- G --

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 | Generic functions for accessing attributes of objects
getB-FreqRep | Get 'B' from a 'FreqRep' object.
getB-LagOperator | Get 'B' from a 'LagOperator' object.
getB-method | Get 'B' from a 'FreqRep' object.
getB-method | Get 'B' from a 'LagOperator' object.
getBootPos | Generic functions for accessing associations of objects
getBootPos-FreqRep | Get associated 'BootPos' from a 'FreqRep'.
getBootPos-LagOperator | Get associated 'BootPos' from a 'LagOperator'.
getBootPos-method | Get associated 'BootPos' from a 'FreqRep'.
getBootPos-method | Get associated 'BootPos' from a 'LagOperator'.
getBw | Generic functions for accessing attributes of objects
getBw-KernelWeight | Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'KernelWeight'.
getBw-LagKernelWeight | Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'LagKernelWeight'.
getBw-method | Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'KernelWeight'.
getBw-method | Get attribute 'bw' (bandwidth / scaling parameter used for smoothing) from a 'LagKernelWeight'.
getCoherency | Generic functions for accessing attributes of objects
getCoherency-method | Compute quantile coherency from a quantile spectral density kernel
getCoherency-method | Compute quantile coherency from a smoothed quantile periodogram.
getCoherency-QuantileSD | Compute quantile coherency from a quantile spectral density kernel
getCoherency-SmoothedPG | Compute quantile coherency from a smoothed quantile periodogram.
getCoherencySdNaive | Generic functions for accessing attributes of objects
getCoherencySdNaive-method | Get estimates for the standard deviation of the coherency computed from smoothed quantile periodogram.
getCoherencySdNaive-SmoothedPG | Get estimates for the standard deviation of the coherency computed from smoothed quantile periodogram.
getDescr | Generic functions for accessing attributes of objects
getDescr-method | Get attribute 'descr' from a 'Weight'.
getDescr-Weight | Get attribute 'descr' from a 'Weight'.
getFreqRep | Generic functions for accessing associations of objects
getFreqRep-method | Get associated 'FreqRep' from a 'QuantilePG'.
getFreqRep-QuantilePG | Get associated 'FreqRep' from a 'QuantilePG'.
getFrequencies | Generic functions for accessing attributes of objects
getFrequencies-FreqRep | Get attribute 'frequencies' from a 'FreqRep'.
getFrequencies-method | Get attribute 'frequencies' from a 'FreqRep'.
getFrequencies-method | Get attribute 'frequencies' from a 'QSpecQuantity'.
getFrequencies-QSpecQuantity | Get attribute 'frequencies' from a 'QSpecQuantity'.
getIsRankBased | Generic functions for accessing attributes of objects
getIsRankBased-FreqRep | Get 'isRankBased' from a 'FreqRep' object
getIsRankBased-LagOperator | Get 'isRankBased' from a 'LagOperator' object
getIsRankBased-method | Get 'isRankBased' from a 'FreqRep' object
getIsRankBased-method | Get 'isRankBased' from a 'LagOperator' object
getLagOperator | Generic functions for accessing attributes of objects
getLagOperator-LagEstimator | Get associated 'LagOperator' from a 'LagEstimator'.
getLagOperator-method | Get associated 'LagOperator' from a 'LagEstimator'.
getLevels | Generic functions for accessing attributes of objects
getLevels-FreqRep | Get attribute 'levels' from a 'FreqRep'.
getLevels-LagOperator | Get attribute 'levels' from a 'LagOperator'.
getLevels-method | Get attribute 'levels' from a 'FreqRep'.
getLevels-method | Get attribute 'levels' from a 'LagOperator'.
getLevels-method | Get attribute 'levels' from a 'QSpecQuantity'.
getLevels-QSpecQuantity | Get attribute 'levels' from a 'QSpecQuantity'.
getMaxLag | Generic functions for accessing attributes of objects
getMaxLag-LagOperator | Get 'maxLag' from a 'LagOperator' object.
getMaxLag-method | Get 'maxLag' from a 'LagOperator' object.
getMeanPG | Generic functions for accessing attributes of objects
getMeanPG-method | Get 'meanPG' from a quantile spectral density kernel
getMeanPG-QuantileSD | Get 'meanPG' from a quantile spectral density kernel
getN | Generic functions for accessing attributes of objects
getN-method | Get 'N' from a quantile spectral density kernel
getN-QuantileSD | Get 'N' from a quantile spectral density kernel
getParallel | Generic functions for accessing attributes of objects
getParallel-method | Get 'getParallel' from a 'QRegEstimator' object
getParallel-QRegEstimator | Get 'getParallel' from a 'QRegEstimator' object
getPointwiseCIs | Generic functions for accessing attributes of objects
getPointwiseCIs-LagEstimator | Get pointwise confidence intervals for the quantile spectral density kernel
getPointwiseCIs-method | Get pointwise confidence intervals for the quantile spectral density kernel
getPointwiseCIs-method | Get pointwise confidence intervals for the quantile spectral density kernel, quantile coherency or quantile coherence.
getPointwiseCIs-SmoothedPG | Get pointwise confidence intervals for the quantile spectral density kernel, quantile coherency or quantile coherence.
getPositions | Generic functions for implementation of methods of a class
getPositions-method | Get Positions for the Moving Blocks Bootstrap.
getPositions-MovingBlocks | Get Positions for the Moving Blocks Bootstrap.
getQuantilePG | Generic functions for accessing associations of objects
getQuantilePG-method | Get associated 'QuantilePG' from a 'QuantileSD'.
getQuantilePG-method | Get associated 'QuantilePG' from a 'SmoothedPG'.
getQuantilePG-QuantileSD | Get associated 'QuantilePG' from a 'QuantileSD'.
getQuantilePG-SmoothedPG | Get associated 'QuantilePG' from a 'SmoothedPG'.
getQuantileSD | Generic functions for accessing associations of objects
getQuantileSD-IntegrQuantileSD | Get associated 'getQuantileSD' from an 'IntegrQuantileSD'.
getQuantileSD-method | Get associated 'getQuantileSD' from an 'IntegrQuantileSD'.
getR | Generic functions for accessing attributes of objects
getR-method | Get 'R' from a quantile spectral density kernel
getR-QuantileSD | Get 'R' from a quantile spectral density kernel
getSdBoot | Generic functions for accessing attributes of objects
getSdBoot-LagEstimator | Get bootstrap estimates for the standard deviation of the lag-window type estimator.
getSdBoot-method | Get bootstrap estimates for the standard deviation of the lag-window type estimator.
getSdBoot-method | Get bootstrap estimates for the standard deviation of the smoothed quantile periodogram.
getSdBoot-SmoothedPG | Get bootstrap estimates for the standard deviation of the smoothed quantile periodogram.
getSdNaive | Generic functions for accessing attributes of objects
getSdNaive-LagEstimator | Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
getSdNaive-method | Get estimates for the standard deviation of the lagEstimator derived from the asymptotics (see Birr et al (2015))
getSdNaive-method | Get estimates for the standard deviation of the smoothed quantile periodogram.
getSdNaive-SmoothedPG | Get estimates for the standard deviation of the smoothed quantile periodogram.
getStdError | Generic functions for accessing attributes of objects
getStdError-method | Get 'stdError' from a quantile spectral density kernel
getStdError-QuantileSD | Get 'stdError' from a quantile spectral density kernel
getTs | Generic functions for accessing attributes of objects
getTs-method | Get 'ts' from a quantile spectral density kernel
getTs-QuantileSD | Get 'ts' from a quantile spectral density kernel
getType | Generic functions for accessing attributes of objects
getType-method | Get 'type' from a quantile spectral density kernel
getType-QuantileSD | Get 'type' from a quantile spectral density kernel
getValues | Generic functions for accessing attributes of objects
getValues-FreqRep | Get values from a frequency representation.
getValues-IntegrQuantileSD | Get values from a simulated integrated quantile spectral density kernel
getValues-KernelWeight | Get values from a weight object determined by a kernel function 'W' and a bandwidth 'b'.
getValues-LagEstimator | Get values from a lag-window type estimator.
getValues-LagKernelWeight | Get values from a weight object determined by a kernel function 'W' and a bandwidth 'bw'.
getValues-LagOperator | Get attribute 'values' from a 'LagOperator'.
getValues-method | Get values from a frequency representation.
getValues-method | Get values from a simulated integrated quantile spectral density kernel
getValues-method | Get values from a weight object determined by a kernel function 'W' and a bandwidth 'b'.
getValues-method | Get values from a lag-window type estimator.
getValues-method | Get values from a weight object determined by a kernel function 'W' and a bandwidth 'bw'.
getValues-method | Get attribute 'values' from a 'LagOperator'.
getValues-method | Get values from a quantile periodogram.
getValues-method | Get values from a quantile spectral density kernel
getValues-method | Get values from a smoothed quantile periodogram.
getValues-method | Get values from a weight object of type 'SpecDistrWeight'
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'
getW | Generic functions for accessing attributes of objects
getW-KernelWeight | Get attribute 'W' (kernel used for smoothing) from a 'KernelWeight'.
getW-LagKernelWeight | Get attribute 'W' (kernel used for smoothing) from a 'LagKernelWeight'.
getW-method | Get attribute 'W' (kernel used for smoothing) from a 'KernelWeight'.
getW-method | Get attribute 'W' (kernel used for smoothing) from a 'LagKernelWeight'.
getWeight | Generic functions for accessing associations of objects
getWeight-LagEstimator | Get associated 'Weight' from a 'LagEstimator'.
getWeight-method | Get associated 'Weight' from a 'LagEstimator'.
getWeight-method | Get associated 'Weight' from a 'SmoothedPG'.
getWeight-SmoothedPG | Get associated 'Weight' from a 'SmoothedPG'.
getWnj | Generic functions for accessing attributes of objects
getWnj-KernelWeight | Get attribute 'Wnj' from a 'QSpecQuantity'.
getWnj-method | Get attribute 'Wnj' from a 'QSpecQuantity'.
getY | Generic functions for accessing attributes of objects
getY-FreqRep | Get 'Y' from a 'FreqRep' object.
getY-method | Get 'Y' from a 'FreqRep' object.

## -- I --

increasePrecision | Generic functions for implementation of methods of a class
increasePrecision-method | Increase the precision of a 'QuantileSD'
increasePrecision-QuantileSD | Increase the precision of a 'QuantileSD'
IntegrQuantileSD | Class for a simulated integrated quantile (i. e., Laplace or copula) density kernel.
integrQuantileSD | Create an instance of the 'IntegrQuantileSD' class.
IntegrQuantileSD-class | Class for a simulated integrated quantile (i. e., Laplace or copula) density kernel.
IntegrQuantileSD-constructor | Create an instance of the 'IntegrQuantileSD' class.
is.wholenumber | Checks whether 'x' contains integer numbers.

## -- K --

kernels | Kernel function.
KernelWeight | Class for Brillinger-type Kernel weights.
kernelWeight | Create an instance of the 'KernelWeight' class.
KernelWeight-class | Class for Brillinger-type Kernel weights.
KernelWeight-constructor | Create an instance of the 'KernelWeight' class.

## -- L --

LagEstimator | Class for a lag-window type estimator.
lagEstimator | Create an instance of the 'LagEstimator' class.
LagEstimator-class | Class for a lag-window type estimator.
LagEstimator-constructor | Create an instance of the 'LagEstimator' class.
LagKernelWeight | Class for lag window generators
lagKernelWeight | Create an instance of the 'LagKernelWeight' class.
LagKernelWeight-class | Class for lag window generators
LagKernelWeight-constructor | Create an instance of the 'LagKernelWeight' class.
LagOperator | Interface Class to access different types of operators on time series.
LagOperator-class | Interface Class to access different types of operators on time series.
LaplacePeriodogram | Defunct functions in package quantspec
lenTS | Validates if 'Y' is of an appropriate type for a time series and returns the length of the time series.

## -- M --

MovingBlocks | Class for Moving Blocks Bootstrap implementation.
movingBlocks | Create an instance of the 'MovingBlocks' class.
MovingBlocks-class | Class for Moving Blocks Bootstrap implementation.
MovingBlocks-constructor | Create an instance of the 'MovingBlocks' class.

## -- P --

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-method | Plot the values of the 'FreqRep'.
plot-method | Plot the values of the 'IntegrQuantileSD'.
plot-method | Plot the values of the 'KernelWeight'.
plot-method | Plot the values of a 'LagEstimator'.
plot-method | Plot the values of the 'LagKernelWeight'.
plot-method | Plot the values of the 'LagOperator'.
plot-method | Plot the values of the 'QuantilePG'.
plot-method | Plot the values of the 'QuantileSD'.
plot-method | Plot the values of a 'SmoothedPG'.
plot-method | Plot the values of the 'SpecDistrWeight'.
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'.
plotLaplacePeriodogram | Defunct functions in package quantspec

## -- Q --

QAR1 | Simulation of an QAR(1) time series.
QRegEstimator | Class for quantile regression-based estimates in the harmonic linear model.
qRegEstimator | Create an instance of the 'QRegEstimator' class.
QRegEstimator-class | Class for quantile regression-based estimates in the harmonic linear model.
QRegEstimator-constructor | Create an instance of the 'QRegEstimator' class.
QSpecQuantity | Class for a Quantile Spectral Estimator.
QSpecQuantity-class | Class for a Quantile Spectral Estimator.
QuantilePG | Class for a quantile (i. e., Laplace or copula) periodogram.
quantilePG | Create an instance of the 'QuantilePG' class.
QuantilePG-class | Class for a quantile (i. e., Laplace or copula) periodogram.
QuantilePG-constructor | Create an instance of the 'QuantilePG' class.
QuantileSD | Class for a simulated quantile (i. e., Laplace or copula) density kernel.
quantileSD | Create an instance of the 'QuantileSD' class.
QuantileSD-class | Class for a simulated quantile (i. e., Laplace or copula) density kernel.
QuantileSD-constructor | Create an instance of the 'QuantileSD' class.
quantspec | Quantile-Based Spectral Analysis of Time Series
quantspec-defunct | Defunct functions in package quantspec

## -- S --

smoothedLaplacePeriodogram | Defunct functions in package quantspec
SmoothedPG | Class for a smoothed quantile periodogram.
smoothedPG | Create an instance of the 'SmoothedPG' class.
SmoothedPG-class | Class for a smoothed quantile periodogram.
SmoothedPG-constructor | Create an instance of the 'SmoothedPG' class.
sp500 | S&P 500: Standard and Poor's 500 stock index, 2007-2010
SpecDistrWeight | Class for weights to estimate integrated spectral density kernels.
specDistrWeight | Create an instance of the 'SpecDistrWeight' class.
SpecDistrWeight-class | Class for weights to estimate integrated spectral density kernels.
SpecDistrWeight-constructor | Create an instance of the 'SpecDistrWeight' class.

## -- T --

timeSeriesValidator | Validates if 'Y' is of an appropriate type and converts to a numeric.
ts-models | Functions to simulate from the time series models in Kley et. al (2016).
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.
ts1 | Functions to simulate from the time series models in Kley et. al (2016).
ts2 | Functions to simulate from the time series models in Kley et. al (2016).
ts3 | Functions to simulate from the time series models in Kley et. al (2016).

## -- W --

W0 | Kernel function.
W1 | Kernel function.
W2 | Kernel function.
W3 | Kernel function.
WDaniell | Kernel function.
Weight | Interface Class to access different types of weighting functions.
Weight-class | Interface Class to access different types of weighting functions.
wheatprices | Beveridge's Wheat Price Index (detrended and demeaned), 1500-1869
WParzen | Kernel function.

## -- misc --

.computeCoherency | Workhorse function for 'getCoherency-SmoothedPG'.
.computeSdNaive | Workhorse function for 'getSdNaive-SmoothedPG'.