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Quantile-frequency analysis (QFA) of univariate or multivariate time series based on trigonometric quantile regression. See Li, T.-H. (2012) "Quantile periodograms", Journal of the American Statistical Association, 107, 765–776, doi:10.1080/01621459.2012.682815; Li, T.-H. (2014) Time Series with Mixed Spectra, CRC Press, doi:10.1201/b15154; Li, T.-H. (2022) "Quantile Fourier transform, quantile series, and nonparametric estimation of quantile spectra", doi:10.48550/arXiv.2211.05844.
| www.r-project.org | |
| github.com/IBM/qfa |
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