R Observatory: Metrics for quantilogram version 3.2.1

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

quantilogram

3.2.1

Cross-Quantilogram

0packages depend

3.2Kdownloads / year

–test coverage

13/13checks pass

Overview

About

Maintained by Tatsushi OkaFirst published 2020-05-315 releasesCRAN page ↗

Estimation and inference methods for the cross-quantilogram. The cross-quantilogram is a measure of nonlinear dependence between two variables, based on either unconditional or conditional quantile functions. It can be considered an extension of the correlogram, which is a correlation function over multiple lag periods that mainly focuses on linear dependency. One can use the cross-quantilogram to detect the presence of directional predictability from one time series to another. This package provides a statistical inference method based on the stationary bootstrap. For detailed theoretical and empirical explanations, see Linton and Whang (2007) for univariate time series analysis and Han, Linton, Oka and Whang (2016) for multivariate time series analysis. The full references for these key publications are as follows: (1) Linton, O., and Whang, Y. J. (2007). The quantilogram: with an application to evaluating directional predictability. Journal of Econometrics, 141(1), 250-282 doi:10.1016/j.jeconom.2007.01.004; (2) Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251-270 doi:10.1016/j.jeconom.2016.03.001.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("quantilogram", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-quantilogram

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-quantilogram

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-quantilogram

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

13OK

Slowest check: 2.7 min · r-oldrel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

6

Dependencies · direct

Check history

OK2026-08-05
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-06-09
13 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
ERROR2026-06-08
12 OK · 0 NOTE · 0 WARNING · 1 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMEYes · 208 wordsVignettesNopkgdown siteNoNEWSYes · 67% structuredCode of conductNoContributing guideNo

Examples that run: 85%
Documented parameters: 100%
Return-value docs: 100%
References docs: 89%

Downloads

3.2K

CRAN downloads in the past year

Rank #10,883 · ~9/day · ~268/mo

Releases R versions

Daily download trend is not available in this view yet.

24230 days

90890 days

3.2K1 year

Compare downloads with other packages →

Also on100 r2u6 autocran

Dependencies

Declared dependencies

8 external dependencies (excludes base and recommended)

Depends (1)

R >= 4.1.0

Imports (6)

ggplot2 np quantreg rlang scalesstats

LinkingTo (0)

none

Suggests (3)

knitr rmarkdown SparseM

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Datasets

People & History

People (4)

Maintainer (1)

Tatsushi Oka

Author, Maintainer

Authors (1)

Tatsushi Oka

Author, Maintainer

Contributors (3)

Heejon Han

Contributor

Oliver Linton

Contributor

Yoon-Jae Whang

Contributor

Package Timeline

5 releases. Pick two to compare their code metrics. R releases are shown for context.

3.2.1Latest
2026-06-19 · current release · diff ↗
R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
3.1.1
2024-08-27 · diff ↗
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
2.2.1
2022-03-05 · diff ↗
R
R 4.1.0 released · 2021-05-18
2.1.1
2020-06-19 · diff ↗
2.0.1
2020-05-31
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2020-05-31
Total releases: 5 / 6 yrs
License: GPL (>= 3) OSI
Minimum R: ≥ 4.1.0
Bundled data: 104 KB / 2 files
Download size: 126 KB
Installed size: not tracked yet
With dependencies: not tracked yet

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("quantilogram")

Format

Oka, T., Han, H., Linton, O., & Whang, Y. (2026). quantilogram: Cross-Quantilogram (Version 3.2.1) [Computer software]. https://doi.org/10.32614/CRAN.package.quantilogram

This is what citation() produces when a package has no citation file of its own. If it prints something else, use that.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for quantilogram version 3.2.1 [Data set]. HJJB, LLC. Data release v2026-08-23. https://doi.org/10.5281/zenodo.21843040

From data release v2026-08-23, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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