Rolling Window QTE Analysis
Usage
calculate_rolling_qte(x, y, window_size, tau = 0.5, step_size = 1)
Arguments
- x
Source time series
- y
Target time series
- window_size
Window size for rolling analysis
- tau
Quantile level
- step_size
Step size for rolling window (default: 1)
Value
Vector of QTE values for each window
Examples
if (FALSE) { # \dontrun{
x <- rnorm(500)
y <- 0.5 * x + rnorm(500, sd = 0.1)
rolling_qte <- calculate_rolling_qte(x, y, window_size = 100)
} # }