Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: the quantspec Package

Tobias Kley

Research output: Contribution to journalArticle (Academic Journal)peer-review

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Abstract

Quantile-based approaches to the spectral analysis of time series have recently attracted a lot of attention. Several methods for estimation have been proposed in the literature and their statistical properties were analyzed. Yet, so far, neither a systematic method for computation nor a comprehensive software implementation are available to date. This paper contains two main contributions. First, an extensible framework for quantile-based spectral analysis of time series is developed and documented using object-oriented models. A comprehensive, open source reference implementation of this framework is provided in the R package quantspec, which is available from the Comprehensive R Archive Network. The second contribution of the present paper is to provide a detailed tutorial, with worked examples, for this R package. A reader who is already familiar with quantile-based spectral analysis and whose primary interest is not the design of the quantspec package, but how to use it, can read the tutorial and worked examples (Sections 3 and 4) independently.
Original languageEnglish
Pages (from-to)1-27
Number of pages27
JournalJournal of Statistical Software
Volume70
Issue number3
DOIs
Publication statusPublished - 4 Apr 2016

Keywords

  • time series
  • spectral analysis
  • periodogram
  • quantile regression
  • copulas
  • ranks
  • R
  • quantspec
  • framework
  • object-oriented design

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