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| 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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Page views:: 928. Submitted: 2014-06-10. Published: 2016-04-04. |
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| Paper: |
Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package
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| DOI: |
10.18637/jss.v070.i03
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This work is licensed under the licenses Paper: Creative Commons Attribution 3.0 Unported License Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license. |