wqrr
Wavelet Quantile Regression Toolbox
A comprehensive toolbox for wavelet-domain quantile analyses of bivariate and multivariate time series. Provides Wavelet Quantile Regression and Multivariate Wavelet Quantile Regression after Adebayo and Ozkan (2024) <doi:10.1016/j.jclepro.2024.140832>, Wavelet Quantile-on-Quantile regression with bootstrap p-values extending Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013>, the nonparametric Causality-in-Quantiles test of Balcilar, Gupta and Pierdzioch (2016) <doi:10.1016/j.resourpol.2016.04.004> together with its wavelet variant, Wavelet Quantile Mediation and Moderation, Wavelet Quantile Correlation, and a wavelet-based nonparametric Quantile Density estimator. The Maximal Overlap Discrete Wavelet Transform (MODWT) decomposition is performed via 'waveslim' and Short / Medium / Long band aggregation is supported throughout. For plain Quantile-on-Quantile regression see the companion CRAN package 'QuantileOnQuantile'. All interactive 3D surfaces, heatmaps and contour plots default to the 'MATLAB' 'Parula' colour map.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | wqrr_1.0.0.tar.gz |
160.6 KiB |
1.0.0 |
rolling linux/noble R-4.5 | wqrr_1.0.0.tar.gz |
160.5 KiB |
1.0.0 |
rolling source/ R- | wqrr_1.0.0.tar.gz |
47.6 KiB |
1.0.0 |
latest linux/jammy R-4.5 | wqrr_1.0.0.tar.gz |
160.6 KiB |
1.0.0 |
latest linux/noble R-4.5 | wqrr_1.0.0.tar.gz |
160.5 KiB |
1.0.0 |
latest source/ R- | wqrr_1.0.0.tar.gz |
47.6 KiB |
1.0.0 |
2026-04-23 source/ R- | wqrr_1.0.0.tar.gz |
0 B |