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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.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | quantreg (≥ 5.0), waveslim (≥ 1.8), plotly (≥ 4.0.0), stats, utils, grDevices |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2026-06-08 |
| DOI: | 10.32614/CRAN.package.wqrr (may not be active yet) |
| Author: | Merwan Roudane [aut, cre, cph], Nicholas Sim [ctb] (Original Quantile-on-Quantile methodology), Hongtao Zhou [ctb] (Original Quantile-on-Quantile methodology), Tomiwa Sunday Adebayo [ctb] (Wavelet Quantile Regression methodology), Mehmet Balcilar [ctb] (Nonparametric quantile causality methodology) |
| Maintainer: | Merwan Roudane <merwanroudane920 at gmail.com> |
| BugReports: | https://github.com/merwanroudane/wqrr/issues |
| License: | GPL-3 |
| URL: | https://github.com/merwanroudane/wqrr |
| NeedsCompilation: | no |
| Citation: | wqrr citation info |
| Materials: | NEWS |
| CRAN checks: | wqrr results |
| Reference manual: | wqrr.html , wqrr.pdf |
| Vignettes: |
Introduction to wqrr: Wavelet Quantile Regression Toolbox (source, R code) |
| Package source: | wqrr_1.0.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: wqrr_1.0.0.zip, r-oldrel: not available |
| macOS binaries: | r-release (arm64): wqrr_1.0.0.tgz, r-oldrel (arm64): wqrr_1.0.0.tgz, r-release (x86_64): wqrr_1.0.0.tgz, r-oldrel (x86_64): wqrr_1.0.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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