Other packages > Find by keyword >

quantilogram  

Cross-Quantilogram
View on CRAN: Click here


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]
All associated links for this package
First Published: 2020-05-31
Latest Update: 2024-08-27
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 15 Sep. 2026.
Previous versions and publish date:
(2026-07-09 06:46), 2.0.1 (2020-05-31 12:00), 2.1.1 (2020-06-19 12:50), 2.2.1 (2022-03-05 16:20), 3.1.1 (2024-08-27 14:40)
Other packages that cited quantilogram R package
View quantilogram citation profile
Other R packages that quantilogram depends, imports, suggests or enhances
Complete documentation for quantilogram
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

RXshrink  
Maximum Likelihood Shrinkage using Generalized Ridge or Least Angle Regression
Functions are provided to calculate and display ridge TRACE Diagnostics for a variety of alternativ ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
CTTinShiny  
Shiny Interface for the CTT Package
A Shiny interface developed in close coordination with the CTT package, providing a GUI that guides ...
Download / Learn more Package Citations See dependency  
AFR  
Toolkit for Regression Analysis of Kazakhstan Banking Sector Data
Tool is created for regression, prediction and forecast analysis of macroeconomic and credit data. ...
Download / Learn more Package Citations See dependency  
SiER  
Signal Extraction Approach for Sparse Multivariate Response Regression
Methods for regression with high-dimensional predictors andunivariate or maltivariate response varia ...
Download / Learn more Package Citations See dependency  
functClust  
Functional Clustering of Redundant Components of a System
Cluster together the components that make up an interactivesystem on the basis of their functional r ...
Download / Learn more Package Citations See dependency  

28,565

R Packages

239,283

Dependencies

75,677

Author Associations

28,566

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA