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 |
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