Package: quantilogram
Title: Cross-Quantilogram
Version: 2.1.1
Authors@R: 
    c(person(given = "Tatsushi",
             family = "Oka",
             role = c("aut", "cre"),
             email = "oka.econ@gmail.com"),
      person(given = "Heejon",
             family = "Han",
             role = "ctb"),
      person(given = "Oliver",
             family = "Linton",
             role = "ctb"),
      person(given = "Yoon-Jae",
             family = "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
LazyData: true
RoxygenNote: 7.1.0
Imports: quantreg, SparseM, stats, np
Depends: R (>= 2.10)
NeedsCompilation: no
Packaged: 2020-06-19 10:31:50 UTC; student-t
Author: Tatsushi Oka [aut, cre],
  Heejon Han [ctb],
  Oliver Linton [ctb],
  Yoon-Jae Whang [ctb]
Repository: CRAN
Date/Publication: 2020-06-19 10:50:05 UTC
