quantilogram: Cross-Quantilogram
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) <doi:10.1016/j.jeconom.2007.01.004> for
univariate time series analysis and Han, Linton, Oka and Whang (2016)
<doi:10.1016/j.jeconom.2016.03.001> for multivariate time series
analysis.
| Version: |
2.2.1 |
| Depends: |
R (≥ 2.10) |
| Imports: |
np, quantreg, SparseM, stats |
| Published: |
2022-03-05 |
| Author: |
Tatsushi Oka [aut, cre],
Heejon Han [ctb],
Oliver Linton [ctb],
Yoon-Jae Whang [ctb] |
| Maintainer: |
Tatsushi Oka <oka.econ at gmail.com> |
| License: |
GPL (≥ 3) |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| CRAN checks: |
quantilogram results |
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