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. Despite a growing literature that contains various estimation proposals, no systematic methods for computing the new estimators 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, the R package quantspec, was recently contributed to CRAN by the author of this paper. The second contribution of the present paper is to provide a detailed tutorial, with worked examples, to 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.Comment: 27 pages, 11 figures, R package available via CRAN (http://cran.r-project.org/web/packages/quantspec) or GitHub (https://github.com/tobiaskley/quantspec