Apply Quantile Correlation Analysis

Usage

apply_quantile_correlation(data, quantiles, wf = "la8", J = 8, n_sim = 1000)

Arguments

data: Data frame containing the time series data. The first column is the reference series; subsequent columns are the target series.
quantiles: Numeric vector of quantiles.
wf: Wavelet family name.
J: Decomposition level.
n_sim: Number of simulations for confidence intervals.

Value

A combined data.frame of quantile correlation results, with one row per level-quantile-series combination.

Examples

data <- data.frame(x = rnorm(1000), y = rnorm(1000), z = rnorm(1000))
quantiles <- c(0.05, 0.5, 0.95)
res_df <- apply_quantile_correlation(data, quantiles,n_sim=10)
head(res_df)
#>   Series Level Quantile Estimated_QC    CI_Lower   CI_Upper
#> 1      y     1     0.05 -0.012584062 -0.04018610 0.02898339
#> 2      y     1     0.50  0.048225385 -0.06247204 0.04179011
#> 3      y     1     0.95 -0.023731127 -0.06132557 0.01055308
#> 4      y     2     0.05  0.000331667 -0.02905852 0.03175552
#> 5      y     2     0.50  0.044300132 -0.05236190 0.02943869
#> 6      y     2     0.95  0.035356417 -0.10726418 0.03866419