Time Series · Quantile Multivariate

quantile_var

Quantile VAR (tail dependence). Quantile vector autoregression at tail quantile tau (quantreg): the lag-1 coefficient matrix A1(tau) across 2-6 markets gives directed tail dependence, plus per-market tail driver/receiver scores. tau=0.5 is the median (LAD) VAR.

Identity

version 1.0.0 · capability tail-dynamics · min_obs 100 · runner r (quantile_var.R)

Primitives

—

Composes with

not yet a catalog field — operator-composition metadata lands with Pathway F; nothing is invented here.

Parameters

nametypereqvalues / range
seriesseries (n=2–6)required
taunumoptional
pintoptional

Returns

method,dataset,series,n,tau,lag,var_lag,coef_matrix_lag1,directional,interpretation

Paper

none — honest: a substrate method; no single companion paper claims it.

Changelog

[object Object]

Run it

curl -s -X POST https://shssm-compute-b7ui3oxaqq-el.a.run.app/api/compute/run \
  -H "Content-Type: application/json" \
  -d '{"method":"quantile_var","params":{"series":["India","USA"]}}'
▶ open in the Workbench with quantile_var preselected
Generated from GET /api/compute/catalog by scripts/gen-man.mjs — the catalog is the truth; no hand-written method docs. · Econstellar · SHSSM, IIT Bhubaneswar.