Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: the quantspec package

Quantile-based approaches to the spectral analysis of time series have recently attracted a lot of attention. several methods for estimation have been proposed in the literature and their statistical properties were analyzed. yet,so far,neither a systematic method for computation nor a comprehensive software implementation are available to date. this paper contains two main contributions. first,an extensible framework for quantile-based spectral analysis of time series is developed and documented using object-oriented models. a comprehensive,open source reference implementation of this framework is provided in the r package quantspec,which is available from the comprehensive r archive network. the second contribution of the present paper is to provide a detailed tutorial,with worked examples,for this r package. a reader who is already familiar with quantile-based spectral analysis and whose primary interest is not the design of the quantspec package,but how to use it,can read the tutorial and worked examples (sections 3 and 4) independently. © 2016,american statistical association. all rights reserved.