Package: quantilogram
Title: Cross-Quantilogram
Version: 2.2.1
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.  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.
License: GPL (>= 3)
Encoding: UTF-8
RoxygenNote: 7.1.2
Imports: np, quantreg, SparseM, stats
Depends: R (>= 2.10)
LazyData: true
NeedsCompilation: no
Packaged: 2022-03-01 12:55:44 UTC; student-t
Author: Tatsushi Oka [aut, cre],
  Heejon Han [ctb],
  Oliver Linton [ctb],
  Yoon-Jae Whang [ctb]
Repository: CRAN
Date/Publication: 2022-03-05 15:20:02 UTC
Built: R 4.1.2; ; 2022-03-06 12:18:45 UTC; unix
