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quantilogram
View on CRAN: Click
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Download and install quantilogram package within the R console
Install from CRAN:
install.packages("quantilogram")
Install from Github:
library("remotes")
install_github("cran/quantilogram")
Install by package version:
library("remotes")
install_version("quantilogram", "3.1.1")
Attach the package and use:
library("quantilogram")
Maintained by
Tatsushi Oka
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-05-31
Latest Update: 2022-03-05
Description:
Estimation and inference methods for the cross-quantilogram.
The cross-quantilogram is a measure of nonlinear dependence between
two variables, based on either unconditional or conditional quantile
functions. The cross-quantilogram can be considered as an extension
of the correlogram, which is a correlation function over multiple lag
periods and mainly focuses on linear dependency. One can use the
cross-quantilogram to detect the presence of directional
predictability from one time series to another. This package provides
a statistical inference method based on the stationary bootstrap. See
Linton and Whang (2007) for
univariate time series analysis and Han, Linton, Oka and Whang (2016)
for multivariate time series
analysis.
How to cite:
Tatsushi Oka (2020). quantilogram: Cross-Quantilogram. R package version 3.1.1, https://cran.r-project.org/web/packages/quantilogram. Accessed 18 Feb. 2025.
Previous versions and publish date:
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Complete documentation for quantilogram
Functions, R codes and Examples using
the quantilogram R package
Some associated functions: Qstat . Qstat.reg.sb . Qstat.sb . Qstat.sb.opt . corr.lag . corr.lag.partial . crossq.max . crossq.max.partial . crossq . crossq.partial . crossq.partial.sb . crossq.partial.sb.opt . crossq.sb . crossq.sb.opt . crossqreg.max . crossqreg.max.partial . crossqreg . crossqreg.partial . crossqreg.sb . q.hit . qreg.hit . quantilogram-package . sb.index . stock . sys.risk .
Some associated R codes: Qstat.R . Qstat.reg.sb.R . Qstat.sb.R . Qstat.sb.opt.R . corr.lag.R . corr.lag.partial.R . crossq.R . crossq.max.R . crossq.max.partial.R . crossq.partial.R . crossq.partial.sb.R . crossq.partial.sb.opt.R . crossq.sb.R . crossq.sb.opt.R . crossqreg.R . crossqreg.max.R . crossqreg.max.partial.R . crossqreg.partial.R . crossqreg.sb.R . q.hit.R . qreg.hit.R . quantilogram-package.R . sb.index.R . stock.R . sys.risk.R . Full quantilogram package functions and examples
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