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Description

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.

quantilogram

The goal of quantilogram is to measure nonlinear dependence between two variables, based on either unconditional or conditional quantile functions.

Installation

You can install the released version of quantilogram from CRAN with:

install.packages("quantilogram")

Example

This is a basic example which shows you how to solve a common problem:

library(quantilogram)
## basic example code
Metadata

Version

2.2.1

License

Unknown

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