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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 25 Jun. 2026.
Previous versions and publish date:
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)
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