qfa

Quantile-Frequency Analysis (QFA) of Time Series

Last update: 21 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.2, 2.0, 0.0-10, 2.1

Description

Quantile-frequency analysis (QFA) of univariate or multivariate time series based on trigonometric quantile regression. See Li, T.-H. (2012) "Quantile periodograms", Journal of the American Statistical Association, 107, 765–776, <doi:10.1080/01621459.2012.682815>; Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, <doi:10.1201/b15154>; Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric estimation of quantile spectra", <doi:10.48550/arXiv.2211.05844>.

Cites work

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