Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package

View Researcher's Other Codes

Disclaimer: The provided code links for this paper are external links. Science Nest has no responsibility for the accuracy, legality or content of these links. Also, by downloading this code(s), you agree to comply with the terms of use as set out by the author(s) of the code(s).

Authors Tobias Kley
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper 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 quantile-based 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.
Date of publication 2014
Code Programming Language R
Comment

Copyright Researcher 2021