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wqrr  

Wavelet Quantile Regression Toolbox
View on CRAN: Click here


Download and install wqrr package within the R console
Install from CRAN:
install.packages("wqrr")

Install from Github:
library("remotes")
install_github("cran/wqrr")

Install by package version:
library("remotes")
install_version("wqrr", "1.0.0")



Attach the package and use:
library("wqrr")
Maintained by
Merwan Roudane
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-06-08
Latest Update: 2026-06-08
Description:
A comprehensive toolbox for wavelet-domain quantile analyses of bivariate and multivariate time series. Provides Wavelet Quantile Regression and Multivariate Wavelet Quantile Regression after Adebayo and Ozkan (2024) <doi:10.1016/j.jclepro.2024.140832>, Wavelet Quantile-on-Quantile regression with bootstrap p-values extending Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013>, the nonparametric Causality-in-Quantiles test of Balcilar, Gupta and Pierdzioch (2016) <doi:10.1016/j.resourpol.2016.04.004> together with its wavelet variant, Wavelet Quantile Mediation and Moderation, Wavelet Quantile Correlation, and a wavelet-based nonparametric Quantile Density estimator. The Maximal Overlap Discrete Wavelet Transform (MODWT) decomposition is performed via 'waveslim' and Short / Medium / Long band aggregation is supported throughout. For plain Quantile-on-Quantile regression see the companion CRAN package 'QuantileOnQuantile'. All interactive 3D surfaces, heatmaps and contour plots default to the 'MATLAB' 'Parula' colour map.
How to cite:
Merwan Roudane (2026). wqrr: Wavelet Quantile Regression Toolbox. R package version 1.0.0, https://cran.r-project.org/web/packages/wqrr. Accessed 21 Aug. 2026.
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