Package: quantilogram
Title: Cross-Quantilogram
Version: 3.1.1
Authors@R: c(
    person("Tatsushi", "Oka", , "oka.econ@gmail.com", role = c("aut", "cre")),
    person("Heejon", "Han", role = "ctb"),
    person("Oliver", "Linton", role = "ctb"),
    person("Yoon-Jae", "Whang", role = "ctb")
  )
Maintainer: Tatsushi Oka <oka.econ@gmail.com>
Description: 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.  It can be considered an extension of the correlogram,
    which is a correlation function over multiple lag periods that 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.  For detailed theoretical and
    empirical explanations, see Linton and Whang (2007) for univariate
    time series analysis and Han, Linton, Oka and Whang (2016) for
    multivariate time series analysis.  The full references for these key
    publications are as follows: (1) Linton, O., and Whang, Y. J. (2007).
    The quantilogram: with an application to evaluating directional
    predictability.  Journal of Econometrics, 141(1), 250-282
    <doi:10.1016/j.jeconom.2007.01.004>; (2) Han, H., Linton, O., Oka, T.,
    and Whang, Y. J. (2016).  The cross-quantilogram: measuring quantile
    dependence and testing directional predictability between time series.
    Journal of Econometrics, 193(1), 251-270
    <doi:10.1016/j.jeconom.2016.03.001>.
License: GPL (>= 3)
Depends: R (>= 3.5.0)
Encoding: UTF-8
RoxygenNote: 7.3.2
Imports: ggplot2, np, quantreg, rlang, scales, stats
Suggests: knitr, rmarkdown, SparseM
LazyData: true
NeedsCompilation: no
Packaged: 2024-08-27 12:16:43 UTC; student-t
Author: Tatsushi Oka [aut, cre],
  Heejon Han [ctb],
  Oliver Linton [ctb],
  Yoon-Jae Whang [ctb]
Repository: CRAN
Date/Publication: 2024-08-27 12:40:02 UTC
Built: R 4.6.0; ; 2026-04-26 09:44:11 UTC; unix
