Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: The quantspec package

摘要

Quantile-based approaches to the spectral analysis of time series have recently attracteda lot of attention. Despite a growing literature that contains various estimationproposals, no systematic methods for computing the new estimators are available to date.This paper contains two main contributions. First, an extensible framework for quantilebasedspectral analysis of time series is developed and documented using object-orientedmodels. A comprehensive, open source, reference implementation of this framework, theR package quantspec, was recently contributed to CRAN by the author of this paper. Thesecond contribution of the present paper is to provide a detailed tutorial, with workedexamples, to this R package. A reader who is already familiar with quantile-based spectralanalysis and whose primary interest is not the design of the quantspec package, but howto use it, can read the tutorial and worked examples (Sections 3 and 4) independently.