Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package | Kley | Journal of Statistical Software
Authors: Tobias Kley
Title: Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package
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.

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Paper: Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package     Download PDF (Downloads: 452)
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quantspec_1.2-1.tar.gz: R source package Download (Downloads: 59; 1MB)
v70i03.R: R replication code Download (Downloads: 65; 3KB)

DOI: 10.18637/jss.v070.i03

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.