qfa: Quantile-Frequency Analysis (QFA) of Time Series
Quantile-frequency analysis (QFA) of time series based on trigonometric quantile regression.
Spline quantile regression (SQR) for regression coefficient estimation.
References:
[1] Li, T.-H. (2012) "Quantile periodograms," Journal of the American Statistical
Association, 107, 765–776, <doi:10.1080/01621459.2012.682815>.
[2] Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, <doi:10.1201/b15154>
[3] Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric
estimation of quantile spectra," <doi:10.48550/arXiv.2211.05844>.
[4] Li, T.-H. (2024) "Quantile crossing spectrum and spline autoregression
estimation," <doi:10.48550/arXiv.2412.02513>.
[5] Li, T.-H. (2024) "Spline autoregression method for estimation of quantile spectrum,"
<doi:10.48550/arXiv.2412.17163>.
[6] Li, T.-H., and Megiddo, N. (2025) "Spline quantile regression,"
<doi:10.48550/arXiv.2501.03883>.
| Version: |
4.2 |
| Depends: |
R (≥ 3.5) |
| Imports: |
RhpcBLASctl, doParallel, fields, foreach, mgcv, nlme, parallel, quantreg, splines, stats, graphics, colorRamps, MASS |
| Published: |
2025-09-11 |
| DOI: |
10.32614/CRAN.package.qfa |
| Author: |
Ta-Hsin Li [cre, aut] |
| Maintainer: |
Ta-Hsin Li <thl024 at outlook.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/IBM/qfa, https://github.com/thl2019/QFA |
| NeedsCompilation: |
yes |
| CRAN checks: |
qfa results |
Documentation:
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