Quantile Correlation Analysis

Usage

quantile_correlation_analysis(x, y, quantiles, wf = "la8", J = 8, n_sim = 1000)

Arguments

x: Numeric vector for the first time series.
y: Numeric vector for the second time series.
quantiles: Numeric vector of quantiles.
wf: Wavelet family name.
J: Decomposition level.
n_sim: Number of simulations for confidence intervals.

Value

Data frame with quantile correlation estimates and confidence intervals for one pair of series.

Examples

data <- data.frame(x = rnorm(1000), y = rnorm(1000))
quantiles <- c(0.05, 0.5, 0.95)
result <- quantile_correlation_analysis(data$x, data$y, quantiles,n_sim=10)
head(result)
#>   Level Quantile Estimated_QC    CI_Lower   CI_Upper
#> 1     1     0.05  0.006181214 -0.04772590 0.03998019
#> 2     1     0.50 -0.021201860 -0.07529193 0.02550050
#> 3     1     0.95  0.038329260 -0.05934677 0.04676091
#> 4     2     0.05 -0.070383371 -0.04973466 0.02110849
#> 5     2     0.50 -0.153712413 -0.05222150 0.01835749
#> 6     2     0.95 -0.068909886 -0.03316492 0.03027756